Volume 2003
Neuzugänge
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2003-10-20BuchEfficient point methods for probabilistic optimization problems We consider nonlinear stochastic programming problems with probabilistic constraints. The concept of a p-efficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and ...
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2003-09-30BuchPortfolio optimization with stochastic dominance constraints We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints ...
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2003-09-30BuchArbitrage pricing simplified The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, ...
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2003-09-30BuchOn Leland's option hedging strategy with transaction costs Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the Black-Scholes hedging strategy with a volatility ...
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2003-09-30BuchIntertemporal mean-variance efficiency with a Markovian state price density This paper extends Merton's continuous time (instantaneous) mean-variance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave ...
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2003-09-30BuchStock ownership decisions in DC pension plans This paper considers the risk of employee pension accounts when there is a large weighting in company stock. The effect of reduced diversification and job related risk are considered. Mean-variance and scenario-based ...
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2003-09-30BuchThe duality of option investment strategies for hedge funds This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. ...
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2003-09-30BuchDual effect free stochastic controls In stochastic optimal control, a key issue is the fact that "solutions" are searched for in terms of "feedback" over available information and, as a consequence, a major potential difficulty is the fact that present control ...
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2003-07-21BuchAn Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming We prove an ergodic theorem showing the almost sure epi/hypo-convergence of a sequence of random lagrangians to a limit lagrangian where the random lagrangians are generated by stationary sampling of a probability measure. ...
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2003-07-25BuchEpi-convergent discretizations of stochastic programs via integration quadratures Modern integration quadratures are designed to produce finitely supported approximations of a given (probability) measure. This makes them well suited for discretization of stochastic programs. We give conditions that ...
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2003-07-07BuchA stochastic programming approach for supply chain network design under uncertainty This paper proposes a stochastic programming model and solution algorithm for solving sup-ply chain network design problems of a realistic scale. Existing approaches for these problems are either restricted to deterministic ...
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2003-07-14BuchEvaluation of scenario-generation methods for stochastic programming In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a scenario-generation ...
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2003-07-04BuchIntegrated chance constraints in an ALM model for pension funds We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multi-stage recourse model, with special attention for ...
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2003-06-30BuchApproximation in stochastic integer programming Approximation algorithms are the prevalent solution methods in the field of stochastic programming. Problems in this field are very hard to solve. Indeed, most of the research in this field has concentrated on designing ...
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2003-06-21BuchSimplification of recourse models by modification of recourse data We consider modification of the recourse data, consisting of the second-stage parameters and the underlying distribution, as an approximation technique for solving two-stage recourse problems. This approach is applied to ...
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2003-06-20BuchSubtree decomposition for multistage stochastic programs An algorithm for solving multistage stochastic recourse problems is described. The scenario tree is decomposed using a cover of subtrees. The progressive hedging algorithm is used to ensure implementability across the ...
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2003-06-20BuchA stochastic programming model for asset liability management of a Finnish pension company This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension company. In many respects the model resembles those presented in the literature , but it has some ...
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2003-06-18BuchOptimization with stochastic dominance constraints We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for theses models and we show that the Lagrange ...
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2003-06-18BuchOptimality and duality theory for stochastic optimization problems with nonlinear dominance constraints We consider a new class of optimization problems involving stochastic dominance constraints of second order. We develop a new splitting approach to these models, optimality conditions and duality theory. These results are ...
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2003-05-17BuchDynamic splitting A new algorithm for the nonlinear multistage stochastic programming problem (MSP) is presented; one that is reasonable for the large-scale problem (e.g. long term hydropower scheduling) and is highly parallel. The algorithm ...