Browsing Τμήμα Διοίκησης Επιχειρήσεων και Δημόσιας Διοίκησης / Department of Business and Public Administration by Subject "Stochastic programming"
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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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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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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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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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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 ...