Browsing by Subject "Stochastic programming"
Now showing items 1-18 of 18
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Article
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 ...
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Conference Object
Distributed stochastic power control for time-varying long-term and short-term fading wireless networks
(2007)In this paper, new time-varying wireless channel models that capture both the space and time variations of longterm and short-term fading wireless networks are developed. The proposed models are based on stochastic ...
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Article
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 ...
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Article
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 ...
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Conference Object
A general framework for continuous time power control in time varying long term fading wireless networks
(2007)In this paper, a general framework for continuous time power control algorithm under time varying long term fading wireless channels is developed. This contrasts most of the power control algorithms introduced in the ...
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Working Paper Open Access
Integrated dynamic models for hedging international portfolio
(The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
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Conference Object
Modelling significant wave height in the North Atlantic
(2003)The surface of the ocean, and so such quantities as the significant wave height, can be thought of as a random surface in space which develops over time. In this paper, we explore certain types of random fields (in space ...
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Article
Optimizing international portfolios with options and forwards
(2011)We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency ...
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Article
Optimizing international portfolios with options and forwards
(2011)We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency ...
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Working Paper Open Access
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
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Article
Pricing options on scenario trees
(2008)We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...
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Article
Pricing options on scenario trees
(2008)We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...
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Doctoral Thesis Open Access
QoS provisioning in Queueing Systems: a perturbation analysis of stochastic fluid models approach
(Πανεπιστήμιο Κύπρου, Πολυτεχνική Σχολή / University of Cyprus, Faculty of Engineering, 2009-11)Έχοντας ως κίνητρο την παροχή Ποιότητας Υπηρεσιών (ΠΥ) σε Δίκτυα Επικοινωνιών, η Διατριβή αυτή στοχεύει στην ανάπτυξη πλαισίου για δυναμικό έλεγχο των παραμέτρων σε συστήματα ουρών ούτως ώστε να παρέχεται η απαιτούμενη ΠΥ. ...
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Working Paper Open Access
Risk management for sovereign financing within a debt sustainability framework
(European Stability Mechanism Working Paper No. 31, 2018-09)The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
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Working Paper Open Access
Risk management optimization for sovereign debt restructuring
(Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...
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Working Paper Open Access
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-05)We express the opinion that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and ...
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Article
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 ...
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Article
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 ...