Volume 1999
Recent Submissions

20000120BuchA Dynamic Asset Allocation Model with Downside Risk Control This paper presents a new stochastic model for investment. The investor's objective is to maximize the expected growth rate while controlling for downside risk. Assuming lognormally distributed prices, the strategy that ...

20000120BuchIntertemporal Surplus Management This paper presents an intertemporal portfolio selection model for pension funds that maximize the intertemporal expected utility of the surplus of assets net of liabilities. Following Merton (1973) it is assumed that both ...

19991220BuchThe Application of Operations Research Techniques to Financial Markets This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to OR researchers, the main types of financial market problem amendable to OR are ...

19991220BuchHedging electricity portfolios via stochastic programming Electricity producers participating in the Nordic wholesalelevel market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single riskaverse producer, ...

19991129BuchConcavity and Efficient Points of Discrete Distributions in Probabilistic Programming We consider stochastic programming problems with probabilistic constraints involving integervalued random variables. The concept of a pefficient point of a probability distribution is used to derive various equivalent ...

19991129BuchThe Sample Average Approximation Method for Stochastic Discrete Optimization In this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and consequently the expected value function ...

19991018BuchOn Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs In this paper we discuss Monte Carlo simulation based approximations of a stochastic programming problem. We show that if the corresponding random functions are convex piecewise smooth and the distribution is discrete, ...

19990920BuchCreating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using MultiPeriod Stochastic Programming We discuss a new approach to asset allocation with transaction costs. A multiperiod stochastic linear programming model is developed where the risk is based on the worst case payoff which is endogenously determined by the ...