Pages that link to "Item:Q5944953"
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The following pages link to Scenario tree generation for multiperiod financial optimization of optimal discretization (Q5944953):
Displaying 50 items.
- Total variation bounds on the expectation of periodic functions with applications to recourse approximations (Q291034) (← links)
- An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (Q300037) (← links)
- A remark on multiobjective stochastic optimization via strongly convex functions (Q314598) (← links)
- A moment-matching method to generate arbitrage-free scenarios (Q319831) (← links)
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective (Q320900) (← links)
- An empirical analysis of scenario generation methods for stochastic optimization (Q323497) (← links)
- Scenario construction and reduction applied to stochastic power generation expansion planning (Q339532) (← links)
- On solving the dual for portfolio selection by optimizing conditional value at risk (Q409275) (← links)
- Scenario tree generation approaches using K-means and LP moment matching methods (Q442753) (← links)
- Hedging of long term zero-coupon bonds in a market model with reinvestment risk (Q487615) (← links)
- Two-stage portfolio optimization with higher-order conditional measures of risk (Q492815) (← links)
- A warm-start approach for large-scale stochastic linear programs (Q535016) (← links)
- Efficient optimization of the reward-risk ratio with polyhedral risk measures (Q684143) (← links)
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems (Q827151) (← links)
- Generating scenario trees: a parallel integrated simulation-optimization approach (Q847184) (← links)
- Automatic formulation of stochastic programs via an algebraic modeling language (Q871689) (← links)
- Clustering algorithms for scenario tree generation: application to natural hydro inflows (Q877626) (← links)
- Dynamic generation of scenario trees (Q902085) (← links)
- Scenario generation for stochastic optimization problems via the sparse grid method (Q902086) (← links)
- Simulation and optimization approaches to scenario tree generation (Q953641) (← links)
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures (Q959951) (← links)
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization (Q976498) (← links)
- Multi-period portfolio optimization with linear control policies (Q1004108) (← links)
- Adaptive discretization of convex multistage stochastic programs (Q1006551) (← links)
- Scenario tree modeling for multistage stochastic programs (Q1016127) (← links)
- The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate (Q1026536) (← links)
- Airline network revenue management by multistage stochastic programming (Q1031952) (← links)
- Convergent bounds for stochastic programs with expected value constraints (Q1035872) (← links)
- Corporate hedging: an answer to the ``how'' question (Q1621895) (← links)
- An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information (Q1634284) (← links)
- Scenario reduction for stochastic programs with conditional value-at-risk (Q1650782) (← links)
- Multiperiod portfolio investment using stochastic programming with conditional value at risk (Q1652255) (← links)
- Efficient solution selection for two-stage stochastic programs (Q1740544) (← links)
- Epi-convergent discretizations of stochastic programs via integration quadratures (Q1770258) (← links)
- Quality evaluation of scenario-tree generation methods for solving stochastic programming problems (Q1789621) (← links)
- A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains (Q1879584) (← links)
- Optimal capacity allocation in multi-auction electricity markets under uncertainty (Q1885935) (← links)
- Energy contracts management by stochastic programming techniques (Q1931657) (← links)
- The decision rule approach to optimization under uncertainty: methodology and applications (Q2010368) (← links)
- Constraint generation for risk averse two-stage stochastic programs (Q2028853) (← links)
- Gas storage valuation in incomplete markets (Q2028869) (← links)
- Scenario generation by selection from historical data (Q2051173) (← links)
- Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure (Q2118074) (← links)
- Scenario reduction revisited: fundamental limits and guarantees (Q2118076) (← links)
- A stability result for linear Markovian stochastic optimization problems (Q2118100) (← links)
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice (Q2183315) (← links)
- Scenario tree construction driven by heuristic solutions of the optimization problem (Q2221468) (← links)
- Stochastic vs deterministic programming in water management: the value of flexibility (Q2259041) (← links)
- A stochastic programming approach for multi-period portfolio optimization (Q2271799) (← links)
- An approach to the valuation and decision of ERP investment projects based on real options (Q2271846) (← links)
