Two-stage problem of quantile optimization of an investment project

DOI10.1134/S106423071002005XzbMATH Open1308.91179OpenAlexW1974744083MaRDI QIDQ2017553FDOQ2017553

A. V. Naumov

Publication date: 23 March 2015

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s106423071002005x

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Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Applications of optimal control and differential games (49N90)

Cites Work

• Introduction to Stochastic Programming
• Title not available (Why is that?)
• Guaranteeing solutions of the quadratic programming problem with inexactly assigned parameters and their applications in the investment process
• A two-stage quantile linear programming problem
• A two-stage problem of quantile optimization of a hospital budget

Cited In (3)

• Investigation of a two-stage integer problem of quantile optimization
• Stochastic model of the electric power purchase system on a railway segment
• On the two-stage problem of linear stochastic programming with quantile criterion and discrete distribution of the random parameters

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