Now showing items 1-10 of 27
Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions
This paper develops an approximate method for solving multiperiod utility maximization investment models with downside risk control characterized by the minimum attainable wealth among all possible scenarios. The stochastic ...
Mean-variance versus expected utility in dynamic investment analysis
This paper derives the mean-variance efficient frontier and optimal portfolio policies for a dynamic investment model. In the absence of arbitrage opportunities, the optimal expected portfolio value can be identified through ...
A finite branch and bound algorithm for two-stage stochastic integer programs
This paper addresses a general class of two-stage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second stage integer problem to develop a novel ...
A heuristic for generating scenario trees for multistage decision problems
In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that produces a discrete ...
Optimizing electricity distribution using two-stage integer recourse models
We consider two planning problems faced by an electricity distributor. Electricity can be obtained both from power plants and small generators such as hospitals and greenhouses, whereas the future demand for electricity ...
A two-stage planning model for power scheduling in a hydro-thermal system under uncertainty
A two-stage stochastic programming model for the short- or mid-term cost-optimal electric power production planning is developed. We consider the power generation in a hydro-thermal generation system under uncertainty in ...