Browsing by Author "Dupacová, Jitka"

Now showing items 1-8 of 8

2004-01-14Buch

Asset-liability management for Czech pension funds using stochastic programming

Dupacová, Jitka; Polivka, Jan

It is possible to model a wide range of portfolio management problems using stochastic programming. This approach requires the generation of input scenarios and probabilities, which represent the evolution of the return ...
2006-03-15Buch

Contamination for multistage stochastic programs

Dupacová, Jitka

Contamination technique will be examined as a possible approach to robustness analysis of results obtained for multistage stochastic linear programs with respect to changes of their structure or input data. We shall focus ...
2004-01-14Buch

Melt control

Charge optimization via stochastic programming

Dupacová, Jitka; Popela, Pavel

This paper introduces melt control as a good case for application of two- and multistage stochastic programming models. Sources of uncertainties are described and several methods of input generation are presented. The ...
2000-07-06Buch

Output analysis for approximated stochastic programs

Dupacová, Jitka

Because of incomplete information and also for the sake of numerical tractability one mostly solves an approximated stochastic program instead of the underlying ''true'' decision problem. However, without an additional ...
2005-11-11Buch

Qantitative stability for scenario-based stochastic programs

Dupacová, Jitka; Römisch, Werner

General quantitative stability results for stochastic programs are formulated in terms of probability metrics, specified to scenario-based stochastic programs and applied to a bond portfolio managemant problem.
2005-11-07Buch

Scenario Reduction in Stochastic Programming

An Approach Using Probability Metrics

Dupacová, Jitka; Gröwe-Kuska, Nicole; Römisch, Werner

Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...
2000-08-14Buch

Scenario reduction in stochastic programming: An approach using probability metrics

Dupacová, Jitka; Gröwe-Kuska, Nicole; Römisch, Werner

Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...
2005-01-12Buch

Stress Testing for VaR an CVaR

Dupacová, Jitka; Polivka, Jan

Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for ...