Stabilizing Implementable Decisions in Dynamic Stochastic Programming

SSRN Electronic Journal ◽

10.2139/ssrn.2545992 ◽

2015 ◽

Author(s):

M. A. H. Dempster ◽

Elena Medova

Keyword(s):

Stochastic Programming ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text

Dynamic stochastic programming for asset allocation problem

2007 IEEE International Conference on Industrial Engineering and Engineering Management ◽

10.1109/ieem.2007.4419142 ◽

2007 ◽

Author(s):

Haiqing Song ◽

Huei-Chuen Huang

Keyword(s):

Stochastic Programming ◽

Asset Allocation ◽

Allocation Problem ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text

223004 (M00) How best to flip-flop if you must: Integer dynamic stochastic programming for either-or

Insurance Mathematics and Economics ◽

10.1016/s0167-6687(98)80065-6 ◽

1998 ◽

Vol 22 (3) ◽

pp. 291 ◽

Cited By ~ 1

Keyword(s):

Stochastic Programming ◽

Flip Flop ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text

COMMENT ON "THE IRREDUCIBLE ROLE OF DERIVED MARGINAL UTILITY IN DYNAMIC STOCHASTIC PROGRAMMING"

Pacific Economic Review ◽

10.1111/j.1468-0106.1996.tb00188.x ◽

1996 ◽

Vol 1 (3) ◽

pp. 251-252 ◽

Cited By ~ 2

Author(s):

Gregory C. Chow

Keyword(s):

Stochastic Programming ◽

Marginal Utility ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text

A Dynamic Stochastic Programming Model for Bond Portfolio Management

Computational Science - ICCS 2004 - Lecture Notes in Computer Science ◽

10.1007/978-3-540-25944-2_113 ◽

2004 ◽

pp. 876-883 ◽

Cited By ~ 2

Author(s):

Liyong Yu ◽

Shouyang Wang ◽

Yue Wu ◽

K. K. Lai

Keyword(s):

Stochastic Programming ◽

Portfolio Management ◽

Programming Model ◽

Bond Portfolio ◽

Dynamic Stochastic Programming ◽

Stochastic Programming Model ◽

Dynamic Stochastic ◽

Bond Portfolio Management

Download Full-text

Dynamic stochastic programming tools for individual asset liability management

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924044 ◽

2014 ◽

Author(s):

M. A. H. Dempster

Keyword(s):

Stochastic Programming ◽

Asset Liability Management ◽

Liability Management ◽

Dynamic Stochastic Programming ◽

Programming Tools ◽

Dynamic Stochastic ◽

Individual Asset

Download Full-text

Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming

Journal of Mathematical Sciences ◽

10.1007/s10958-006-0058-1 ◽

2006 ◽

Vol 133 (4) ◽

pp. 1422-1444 ◽

Cited By ~ 14

Author(s):

M. A. H. Dempster

Keyword(s):

Stochastic Programming ◽

Importance Sampling ◽

Sequential Importance Sampling ◽

Dynamic Stochastic Programming ◽

Sampling Algorithms ◽

Dynamic Stochastic

Download Full-text

Galerkin methods in dynamic stochastic programming

Optimization ◽

10.1080/02331931003696368 ◽

2010 ◽

Vol 59 (3) ◽

pp. 339-354 ◽

Cited By ~ 9

Author(s):

Matti Koivu ◽

Teemu Pennanen

Keyword(s):

Stochastic Programming ◽

Galerkin Methods ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text

Lifetime Portfolio Selection By Dynamic Stochastic Programming

Review of Economics and Statistics ◽

10.2307/1926559 ◽

1969 ◽

Vol 51 (3) ◽

pp. 239 ◽

Cited By ~ 1247

Author(s):

Paul A. Samuelson

Keyword(s):

Stochastic Programming ◽

Portfolio Selection ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text

Robust Process Control by Dynamic Stochastic Programming

PAMM ◽

10.1002/pamm.200410003 ◽

2004 ◽

Vol 4 (1) ◽

pp. 11-14 ◽

Cited By ~ 1

Author(s):

Marc C. Steinbach

Keyword(s):

Stochastic Programming ◽

Process Control ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic ◽

Robust Process

Download Full-text

Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming

Computational Management Science ◽

10.1007/s10287-018-0328-7 ◽

2018 ◽

Vol 15 (3-4) ◽

pp. 599-632 ◽

Cited By ~ 1

Author(s):

Giorgio Consigli ◽

Vittorio Moriggia ◽

Sebastiano Vitali ◽

Lorenzo Mercuri

Keyword(s):

Stochastic Programming ◽

Optimal Insurance ◽

Dynamic Stochastic Programming ◽

Dynamic Stochastic

Download Full-text