Scenario tree generation for multiperiod financial optimization of optimal discretization
From MaRDI portal
Publication:5944953
DOI10.1007/s101070000202zbMath0987.91034MaRDI QIDQ5944953
No author found.
Publication date: 20 June 2002
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Related Items
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems, A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains, Corporate hedging: an answer to the ``how question, Total variation bounds on the expectation of periodic functions with applications to recourse approximations, Optimal capacity allocation in multi-auction electricity markets under uncertainty, An algorithm for moment-matching scenario generation with application to financial portfolio optimisation, An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information, A remark on multiobjective stochastic optimization via strongly convex functions, Particle methods for stochastic optimal control problems, A moment-matching method to generate arbitrage-free scenarios, Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective, An empirical analysis of scenario generation methods for stochastic optimization, The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems, Scenario reduction for stochastic programs with conditional value-at-risk, Multiperiod portfolio investment using stochastic programming with conditional value at risk, Scenario construction and reduction applied to stochastic power generation expansion planning, Robust Decisions under Risk for Imprecise Probabilities, Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis, Unnamed Item, Automatic formulation of stochastic programs via an algebraic modeling language, Clustering algorithms for scenario tree generation: application to natural hydro inflows, Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance, Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming, Unnamed Item, Unnamed Item, Importance sampling in stochastic optimization: an application to intertemporal portfolio choice, Stochastic dual dynamic integer programming, Thin and heavy tails in stochastic programming, Energy contracts management by stochastic programming techniques, Semi-discrete optimal transport: hardness, regularization and numerical solution, Problem-driven scenario clustering in stochastic optimization, On solving the dual for portfolio selection by optimizing conditional value at risk, An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems, Value function gradient learning for large-scale multistage stochastic programming problems, Dynamic generation of scenario trees, Scenario generation for stochastic optimization problems via the sparse grid method, Scenario tree generation approaches using K-means and LP moment matching methods, Futures Market Trading for Electricity Producers and Retailers, A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Hedging Market and Credit Risk in Corporate Bond Portfolios, Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming, Scenario Tree Generation for Multi-stage Stochastic Programs, Approximations for Probability Distributions and Stochastic Optimization Problems, Step decision rules for multistage stochastic programming: a heuristic approach, Generic Consistency for Approximate Stochastic Programming and Statistical Problems, Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse, Scenario tree construction driven by heuristic solutions of the optimization problem, Scenario tree generation and multi-asset financial optimization problems, Multistage Stochastic Programs via Stochastic Parametric Optimization, A Stochastic Integer Programming Approach to Air Traffic Scheduling and Operations, Hedging of long term zero-coupon bonds in a market model with reinvestment risk, Two-stage portfolio optimization with higher-order conditional measures of risk, Efficient solution selection for two-stage stochastic programs, Short-term hydropower production planning by stochastic programming, Simulation and optimization approaches to scenario tree generation, Efficient optimization of the reward-risk ratio with polyhedral risk measures, Aggregation and discretization in multistage stochastic programming, Epi-convergent discretizations of multistage stochastic programs via integration quadratures, Financial scenario generation for stochastic multi-stage decision processes as facility location problems, A warm-start approach for large-scale stochastic linear programs, Stochastic vs deterministic programming in water management: the value of flexibility, Stress testing for VaR and CVaR, The decision rule approach to optimization under uncertainty: methodology and applications, Epi-convergent discretizations of stochastic programs via integration quadratures, No-arbitrage conditions, scenario trees, and multi-asset financial optimization, A stochastic programming approach for multi-period portfolio optimization, An approach to the valuation and decision of ERP investment projects based on real options, Solving multistage asset investment problems by the sample average approximation method, Constraint generation for risk averse two-stage stochastic programs, Gas storage valuation in incomplete markets, Integrating stochastic programming and decision tree techniques in land conversion problems, Quality evaluation of scenario-tree generation methods for solving stochastic programming problems, Stochastic multi-objective optimization: a survey on non-scalarizing methods, Twenty years of linear programming based portfolio optimization, Multi-period portfolio optimization with linear control policies, A new moment matching algorithm for sampling from partially specified symmetric distributions, Adaptive discretization of convex multistage stochastic programs, A multi-stage stochastic integer programming approach for locating electric vehicle charging stations, Multiscale stochastic optimization: modeling aspects and scenario generation, Scenario generation by selection from historical data, Scenario tree modeling for multistage stochastic programs, From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties, On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems, The expected loss in the discretization of multistage stochastic programming problems---estimation and convergence rate, Airline network revenue management by multistage stochastic programming, Convergent bounds for stochastic programs with expected value constraints, Building a stochastic programming model from scratch: a harvesting management example, Optimal annuity portfolio under inflation risk, No-arbitrage bounds for financial scenarios, Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure, Scenario reduction revisited: fundamental limits and guarantees, A stability result for linear Markovian stochastic optimization problems, Unnamed Item, Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
