Stochastic programming applications in finance, energy, planning and logistics.

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stoc...

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Bibliographic Details
Main Authors: Gassmann, Horand I, Ziemba, William T
Format: eBook Book
Language:English
Published: New Jersey World Scientific Publishing Co. Pte. Ltd 2012
World Scientific
WORLD SCIENTIFIC
WSPC
Series:World Scientific Series in Finance
Subjects:
Betriebliche Finanzwirtschaft
Decision making
Econometric models
Energiemanagement
Energy
Energy Studies
Finance
Informationstechnik
Logistics
Logistik
Mathematical Finance
Mathematical optimization
Mathematical optimization > Industrial applications
Mathematische Optimierung
Operations Management
Operations Research
Produktionswirtschaft
Quantitative Finance
Risikomanagement
Stochastic processes
Stochastic processes > Econometric models
Stochastic programming
Supply Chain Management
Uncertainty
Production and Logistics Applications
Energy
Stochastic Programming
Optimization with Scenarios
Finance
ISBN:9789814407502, 981440750X
Online Access:Get full text
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Table of Contents:
  • Stochastic programming : applications in finance, energy, planning and logistics -- Acknowledgements -- List of Contributors -- Preface -- Books and Collections of Papers on Stochastic Programming -- Contents -- Chapter 1: Introduction and Summary -- Part I: Papers in Finance -- Chapter 2: Longevity Risk Management for Individual Investors -- Chapter 3: Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals -- Chapter 4: Intertemporal Surplus Management with Jump Risks -- Chapter 5: Jump-Diffusion Risk-Sensitive Benchmarked Asset Management -- Chapter 6: Dynamic Portfolio Optimization under Regime-Based Firm Strength -- Chapter 7: Option Portfolio Management as a Chance Constrained Problem -- Chapter 8: Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios under Some Sources of Uncertainty -- Chapter 9: Stochastic Programming and Optimization in Horserace Betting -- Part II: Papers in Production Planning and Logistics -- Chapter 10: Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective -- Chapter 11: A Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon -- Chapter 12: Prioritizing Network Interdiction of Nuclear Smuggling -- Chapter 13: Sawmill Production Planning Under Uncertainty: Modelling and Solution Approaches -- Part III: Papers on Energy -- Chapter 14: An Electricity Procurement Model with Energy and Peak Charges -- Chapter 15: A Stochastic Game Model Applied to the Nordic Electricity Market -- Chapter 16: Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants -- Part IV: Papers on Telecommunications -- Chapter 17: Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks: Sensitivity to Input Parameters -- Chapter 18: Stochastic Frequency Assignment Problem -- Index