Auflistung Volume 2003 nach Titel
Anzeige der Publikationen 22-25 von 25
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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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2003-09-30BuchStock 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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2003-06-20BuchSubtree 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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2003-09-30BuchThe 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. ...