Two-Period Stochastic Programs with Simple Recourse

DOI10.1287/OPRE.27.3.485MaRDI QIDQ4194740zbMATH OpenOpenAlexFDO

Authors Richard G. Everitt, William T. Ziemba

Publication date 1979

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.27.3.485

zbMATH Keywords

Cash Balance ManagementConvex Stochastic ProgrammingInventoryPortfolioSimple Recourse

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Operations research and management science (90B99) Stochastic programming (90C15) Convex programming (90C25) Applications of mathematical programming (90C90)

Cited in

(4)

• On upper bounds of sequential stochastic production planning problems
• Bank asset and liability management under uncertainty
• A stochastic semidefinite programming approach for bounds on option pricing under regime switching
• Bounds on the value of information in uncertain decision problems

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