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Volume 2003

25 Entries available
Nr. 25Dentcheva, Darinka; Lai, Bogumila; Ruszczynski, Andrzej:
Efficient point methods for probabilistic optimization problems
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Nr. 24Dentcheva, Darinka; Ruszczynski, Andrzej:
Portfolio optimization with stochastic dominance constraints
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Nr. 23Kallio, Markku; Ziemba, William T.:
Arbitrage pricing simplified
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Nr. 22Zhao, Yonggan; Ziemba, William T.:
On Leland's option hedging strategy with transaction costs
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Nr. 21Ziemba, William T.:
Intertemporal mean-variance efficiency with a Markovian state price density
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Nr. 20Douglass, Julian; Wu, Owen; Ziemba, William T.:
Stock ownership decisions in DC pension plans
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Nr. 19Rodriguez-Mancilla, J.R.; Ziemba, William T.:
The duality of option investment strategies for hedge funds
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Nr. 18Barty, Kengy; Carpentier, P.; Chancelier, J.-P.; Cohen, G.; de Lara, M.; Guilbaud, T.:
Dual effect free stochastic controls
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Nr. 17Bagh, Adib; Casey, Michael:
An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
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Nr. 16Pennanen, Teemu; Koivu, Matti:
Epi-convergent discretizations of stochastic programs via integration quadratures
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Nr. 15Santoso, Tjendera; Ahmed, Shabbir; Goetschalckx, Marc; Shapiro, Alexander:
A stochastic programming approach for supply chain network design under uncertainty
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Nr. 14Kaut, Michal; Wallace, Stein W.:
Evaluation of scenario-generation methods for stochastic programming
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Nr. 13van der Vlerk, Maarten H.; Klein Haneveld, Willem K.; Streutker, Matthijs H.:
Integrated chance constraints in an ALM model for pension funds
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Nr. 12Stougie, Leen; van der Vlerk, Maarten H.:
Approximation in stochastic integer programming
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Nr. 11van der Vlerk, Maarten H.:
Simplification of recourse models by modification of recourse data
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Nr. 10Dye, Shane:
Subtree decomposition for multistage stochastic programs
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Nr. 9Hilli, Petri; Koivu, Matti; Pennanen, Teemu; Ranne, Antero:
A stochastic programming model for asset liability management of a Finnish pension company
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Nr. 8Dentcheva, Darinka; Ruszczynski, Andrzej:
Optimization with stochastic dominance constraints
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Nr. 7Ruszczynski, Andrzej:
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
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Nr. 6Salinger, David H.; Rockafellar, R. Tyrrell:
Dynamic splitting
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Nr. 5King, Alan J.; Koivu, Matti; Pennanen, Teemu:
Calibrated option bounds
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Nr. 4Henrion, René; Römisch, Werner:
Hölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints
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Nr. 3Henrion, René:
Perturbation ananlysis of chance-constrained programs under variation of all constraint data
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Nr. 2Sen, Suvrajeet; Yu, Lihua; Genc, Talat:
A stochastic programming approach to power portfolio optimization
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Nr. 1Morton, David P.; Salmerón, Javier; Wood, R. Kevin:
A stochastic program for optimizing military sealift subject to attack
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