Stochastic programming models in energy
We give the reader a tour of good energy optimization models that explicitly deal with
uncertainty. The uncertainty usually stems from unpredictability of demand and/or prices of …
uncertainty. The uncertainty usually stems from unpredictability of demand and/or prices of …
[LIVRE][B] Uncertainty in the electric power industry: methods and models for decision support
C Weber - 2006 - books.google.com
Around the world, liberalization and privatization in the electricity industry have lead to
increased competition among utilities. At the same time, utilities are now exposed more than …
increased competition among utilities. At the same time, utilities are now exposed more than …
[HTML][HTML] A stochastic programming model for dynamic portfolio management with financial derivatives
Stochastic optimization models have been extensively applied to financial portfolios and
have proven their effectiveness in asset and asset-liability management. Occasionally …
have proven their effectiveness in asset and asset-liability management. Occasionally …
On robust optimization of two-stage systems
S Takriti, S Ahmed - Mathematical Programming, 2004 - Springer
Robust-optimization models belong to a special class of stochastic programs, where the
traditional expected cost minimization objective is replaced by one that explicitly addresses …
traditional expected cost minimization objective is replaced by one that explicitly addresses …
Epi-convergent discretizations of stochastic programs via integration quadratures
T Pennanen, M Koivu - Numerische mathematik, 2005 - Springer
The simplest and the best-known method for numerical approximation of high-dimensional
integrals is the Monte Carlo method (MC), ie random sampling. MC has also become the …
integrals is the Monte Carlo method (MC), ie random sampling. MC has also become the …
Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
MÇ Pınar - OR Spectrum, 2007 - Springer
We develop and test multistage portfolio selection models maximizing expected end-of-
horizon wealth while minimizing one-sided deviation from a target wealth level. The trade-off …
horizon wealth while minimizing one-sided deviation from a target wealth level. The trade-off …
Convex duality in stochastic optimization and mathematical finance
T Pennanen - Mathematics of Operations Research, 2011 - pubsonline.informs.org
This paper proposes a general duality framework for the problem of minimizing a convex
integral functional over a space of stochastic processes adapted to a given filtration. The …
integral functional over a space of stochastic processes adapted to a given filtration. The …
A parsimonious model for generating arbitrage-free scenario trees
Simulation models of economic, financial and business risk factors are widely used to
assess risks and support decision-making. Extensive literature on scenario generation …
assess risks and support decision-making. Extensive literature on scenario generation …
Calibrated option bounds
This paper proposes a numerical approach for computing bounds for the arbitrage-free
prices of an option when some options are available for trading. Convex duality reveals a …
prices of an option when some options are available for trading. Convex duality reveals a …
Equal risk pricing and hedging of financial derivatives with convex risk measures
In this paper, we consider the problem of equal risk pricing and hedging in which the fair
price of an option is the price that exposes both sides of the contract to the same level of risk …
price of an option is the price that exposes both sides of the contract to the same level of risk …