Browsing Volume 2004 by Author "Dupacová, Jitka"

Now showing items 1-2 of 2

2004-01-14Buch

Asset-liability management for Czech pension funds using stochastic programming

Dupacová, Jitka; Polivka, Jan

It is possible to model a wide range of portfolio management problems using stochastic programming. This approach requires the generation of input scenarios and probabilities, which represent the evolution of the return ...
2004-01-14Buch

Melt control

Charge optimization via stochastic programming

Dupacová, Jitka; Popela, Pavel

This paper introduces melt control as a good case for application of two- and multistage stochastic programming models. Sources of uncertainties are described and several methods of input generation are presented. The ...