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Stability analysis of portfolio management with conditional value-at-risk
(2007)
We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure
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 ...
Stochastic linear programs with restricted recourse
(1997)
Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...
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 ...
CVaR models with selective hedging for international asset allocation
(2002)
We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions ...
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 ...