Browsing Volume 2003 by Title
Now showing items 1-20 of 25
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2002-12-19BuchA stochastic program for optimizing military sealift subject to attack We describe a stochastic program for planning the wartime, sealift deployment of military cargo subject to attack. The cargo moves on ships from US or allied seaports of embarkation through seaports of debarkation (SPODs) ...
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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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2003-01-09BuchA stochastic programming approach to power portfolio optimization The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming ...
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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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2003-07-21BuchAn 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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2003-06-30BuchApproximation 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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2003-09-30BuchArbitrage 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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2003-03-13BuchCalibrated option bounds This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed ...
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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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2003-05-17BuchDynamic 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 ...
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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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2003-07-25BuchEpi-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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2003-07-14BuchEvaluation 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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2003-03-06BuchHölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints We study perturbations of a stochastic program with a probabilistic constraint and $r$-concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder ...
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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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2003-09-30BuchIntertemporal 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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2003-09-30BuchOn 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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2003-06-18BuchOptimality 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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2003-06-18BuchOptimization 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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2003-02-10BuchPerturbation ananlysis of chance-constrained programs under variation of all constraint data A fairly general shape of chance constraint programs is\[(P) min \{ g(x) | x \in X, \mu (H(x)) \le p \} ,\]where $g : \R^m \to \R$ is a continuous objective function, $X \subseteq \R^m$ is a closed subset of deterministic ...