Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th interna

DOI10.1007/978-1-4419-9586-5zbMATH Open1226.91004OpenAlexW430003170MaRDI QIDQ593240FDOQ593240

Authors:

Publication date: 10 June 2011

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-9586-5

Recommendations

• scientific article; zbMATH DE number 6093111
• Stochastic programming. Applications in finance, energy, planning and logistics. Based on the 12th international conference on stochastic programming (ICSP 12), Halifax, Ns, Canada, August, 2010
• Stochastic programming models in financial optimization: a survey
• On stochastic optimization problems and an application in finance
• Special issue: Computational finance. Selected papers based on the presentations at the 5th international conference on computational management science, London, UK, March 2008 and the 11th conference on stochastic programming, Vienna, Austria, August 27-
• Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance.
• scientific article
• Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance
• Stochastic optimization in generation and trading planning

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Actuarial science and mathematical finance (91Gxx)

Cited In (9)

• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
• Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
• A review on ambiguity in stochastic portfolio optimization
• End-to-end risk budgeting portfolio optimization with neural networks
• Personalized goal-based investing via multi-stage stochastic goal programming
• On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems
• SDDP for multistage stochastic linear programs based on spectral risk measures
• Sparse factor model based on trend filtering
• Quantitative stability analysis for minimax distributionally robust risk optimization

This page was built for publication: Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th interna

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q593240)