Volume 2003
Recent Submissions

20031020BuchEfficient point methods for probabilistic optimization problems We consider nonlinear stochastic programming problems with probabilistic constraints. The concept of a pefficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and ...

20030930BuchPortfolio 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 ...

20030930BuchArbitrage 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, ...

20030930BuchOn Leland's option hedging strategy with transaction costs Nonzero transaction costs invalidate the BlackScholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the BlackScholes hedging strategy with a volatility ...

20030930BuchIntertemporal meanvariance efficiency with a Markovian state price density This paper extends Merton's continuous time (instantaneous) meanvariance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave ...

20030930BuchStock 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. Meanvariance and scenariobased ...

20030930BuchThe 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. ...

20030930BuchDual 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 ...

20030721BuchAn Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming We prove an ergodic theorem showing the almost sure epi/hypoconvergence of a sequence of random lagrangians to a limit lagrangian where the random lagrangians are generated by stationary sampling of a probability measure. ...

20030725BuchEpiconvergent 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 ...

20030707BuchA stochastic programming approach for supply chain network design under uncertainty This paper proposes a stochastic programming model and solution algorithm for solving supply chain network design problems of a realistic scale. Existing approaches for these problems are either restricted to deterministic ...

20030714BuchEvaluation of scenariogeneration methods for stochastic programming In this paper, we discuss the evaluation of quality/suitability of scenariogeneration methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a scenariogeneration ...

20030704BuchIntegrated chance constraints in an ALM model for pension funds We discuss integrated chance constraints in their role of shortterm risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for ...

20030630BuchApproximation 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 ...

20030621BuchSimplification of recourse models by modification of recourse data We consider modification of the recourse data, consisting of the secondstage parameters and the underlying distribution, as an approximation technique for solving twostage recourse problems. This approach is applied to ...

20030620BuchSubtree 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 ...

20030620BuchA 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 ...

20030618BuchOptimization 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 ...

20030618BuchOptimality 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 ...

20030517BuchDynamic splitting A new algorithm for the nonlinear multistage stochastic programming problem (MSP) is presented; one that is reasonable for the largescale problem (e.g. long term hydropower scheduling) and is highly parallel. The algorithm ...