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

DOI10.1007/978-1-4419-9586-5MaRDI QIDQ593240zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(9)

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

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