Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
From MaRDI portal
Publication:6053114
DOI10.1080/14697688.2023.2221296zbMath1522.91229OpenAlexW4384927963MaRDI QIDQ6053114
No author found.
Publication date: 25 September 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2023.2221296
large-scale optimizationfinancial planningstochastic dual dynamic programmingmulti-stage stochastic programmingpartially observable Markov states
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Planning and acting in partially observable stochastic domains
- The Pricing of Options and Corporate Liabilities
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Evaluating policies in risk-averse multi-stage stochastic programming
- Analysis of stochastic dual dynamic programming method
- Simulation and optimization approaches to scenario tree generation
- Asset-liability management for Czech pension funds using stochastic programming
- Multi-stage stochastic optimization applied to energy planning
- Dynamic stochastic programming for asset-liability management
- Portfolio optimization under lower partial risk measures
- Modeling time-dependent randomness in stochastic dual dynamic programming
- A heuristic for moment-matching scenario generation
- Gas storage valuation in incomplete markets
- On conditional cuts for stochastic dual dynamic programming
- Risk neutral and risk averse stochastic dual dynamic programming method
- Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
- Stochastic dual dynamic integer programming
- SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
- A combined stochastic programming and optimal control approach to personal finance and pensions
- A Theory of the Term Structure of Interest Rates
- Retirement planning in individual asset-liability management
- Stochastic Network Programming for Financial Planning Problems
- Personalized goal-based investing via multi-stage stochastic goal programming
- Optimizing Trading Decisions for Hydro Storage Systems Using Approximate Dual Dynamic Programming
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Portfolio Selection with Transaction Costs
- Scenarios for multistage stochastic programs
- Value function gradient learning for large-scale multistage stochastic programming problems
This page was built for publication: Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
