Cover image for Stochastic programming [electronic resource] : applications in finance, energy, planning and logistics / edited by Horand I. Gassmann, Stein W. Wallace, William T. Ziemba.
Stochastic programming [electronic resource] : applications in finance, energy, planning and logistics / edited by Horand I. Gassmann, Stein W. Wallace, William T. Ziemba.
ISBN:
9789814407519
Title:
Stochastic programming [electronic resource] : applications in finance, energy, planning and logistics / edited by Horand I. Gassmann, Stein W. Wallace, William T. Ziemba.
Author:
Gassmann, Horand.
Publication Information:
Singapore ; London : World Scientific, 2012.
Physical Description:
1 online resource (xxix, 518 pages) : illustrations.
Series:
World Scientific series in finance ; vol. 4
Contents:
1. Introduction and summary -- 2. Longevity risk management for individual investors / Woo Chang Kim [and others] -- 3. Optimal stochastic programming-based personal financial planning with intermediate and long-term goals / Vittorio Moriggia, Giorgio Consigli and Gaetano Iaquinta -- 4. Intertemporal surplus management with jump risks / Mareen Benk -- 5. Jump-diffusion risk-sensitive benchmarked asset management / Mark Davis and Sebastien Lleo -- 6. Dynamic portfolio optimization under regime-based firm strength / Chanaka Edirisinghe and Xin Zhang -- 7. Options portfolio management as a chance constrained problem / Dmitry Golembiovsky and Anatoliy Abramov -- 8. Stochastic models for optimizing immunization strategies in fixed-income security portfolios under some sources of uncertainty / Larraitz Aranburu [and others] -- 9. Stochastic programming and optimization in horserace betting / William T. Ziemba -- 10. Multi-stage stochastic programming for natural gas infrastructure design with a production perspective / Lars Hellemo [and others] -- 11. A stochastic programming model for optimizing the production of farmed Atlantic salmon / Martin B. Haereid, Peter Schutz and Asgeir Tomasgard -- 12. Prioritizing network interdiction of nuclear smuggling / Dennis P. Michalopoulos, David P. Morton and J. Wesley Barnes -- 13. Sawmill production planning under uncertainty: modelling and solution approaches / Masoumeh Kazemi Zanjani, Mustapha Nourelfath and Daoud Ait-Kadi -- 14. An electricity procurement model With energy and peak charges / Andy Philpott and Geoff Pritchard -- 15. A stochastic game model applied to the Nordic electricity market / Stein-Erik Fleten and Tek Tjing Lie -- 16. Multi-lag benders decomposition for power generation planning with nonanticipativity constraints on the dispatch of LNG thermal plants / Andre L. Diniz and Maria E.P. Maceira -- 17. Stochastic second-order cone programming in mobile ad-hoc networks: sensitivity to input parameters / Francesca Maggioni [and others] -- 18. Stochastic frequency assignment problem / Wadie Benajam, Alexei Gaivoronski and Abdel Lisser.
Local Note:
eBooks on EBSCOhost
Format:
Electronic Resources
Electronic Access:
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Publication Date:
2012
Publication Information:
Singapore ; London : World Scientific, 2012.