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A dynamic stochastic programming model for international portfolio management
(2008)
We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
Computational assessment of distributed decomposition methods for stochastic linear programs
(1998)
Incorporating uncertainty in optimization models gives rise to large, structured mathematical programs. Decomposition procedures are well-suited for parallelization, thus providing a promising venue for solving large ...