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Stochastic Network Programming for Financial Planning Problems
(1992)
Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading ...
Stochastic network optimization models for investment planning
(1989)
We describe and compare stochastic network optimization models for investment planning under uncertainty. Emphasis is placed on multiperiod a sset allocation and active portfolio management problems. Myopic as well as ...
Solving multistage stochastic networks: An application of scenario aggregation
(1991)
The scenario aggregation algorithm is specialized for stochastic networks. The algorithm determines a solution that does not depend on hindsight and accounts for the uncertain environment depicted by a number of appropriately ...
Applying the progressive hedging algorithm to stochastic generalized networks
(1991)
The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise ...