Stochastic Optimization Methods in Finance and Energy
Editor
- Marida Bertocchi(University of Bergamo)Giorgio Consigli(University of Bergamo)Michael A. H. Dempster(University of Cambridge)
Abstract
No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), 2011. "Stochastic Optimization Methods in Finance and Energy," International Series in Operations Research and Management Science, Springer, edition 1, number 978-1-4419-9586-5, April.
Handle: RePEc:spr:isorms:978-1-4419-9586-5
DOI: 10.1007/978-1-4419-9586-5
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Book Chapters
The following chapters of this book are listed in IDEAS- William T. Ziemba & Leonard C. MacLean, 2011. "Using the Kelly Criterion for Investing," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 3-20, Springer.
- Michael A.H. Dempster & Matteo Germano & Elena A. Medova & Muriel I. Rietbergen & Francesco Sandrini & Mike Scrowston, 2011. "Designing Minimum Guaranteed Return Funds," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, pages 21-42, Springer.
- John M. Mulvey & Thomas Bauerfeind & Koray D. Simsek & Mehmet T. Vural, 2011. "Performance Enhancements for Defined Benefit Pension Plans," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 43-71, Springer.
- Patrizia Beraldi & Giorgio Consigli & Francesco De Simone & Gaetano Iaquinta & Antonio Violi, 2011. "Hedging Market and Credit Risk in Corporate Bond Portfolios," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 73-98, Springer.
- Giorgio Consigli & Massimo di Tria & Michele Gaffo & Gaetano Iaquinta & Vittorio Moriggia & Angelo Uristani, 2011. "Dynamic Portfolio Management for Property and Casualty Insurance," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 99-124, Springer.
- A. Consiglio & Domenico De Giovanni, 2011. "Pricing Reinsurance Contracts," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 125-139, Springer.
- Andres Ramos & Santiago Cerisola & Jesus M. Latorre & Rafael Bellido & Alejandro Perea & Elena Lopez, 2011. "A Decision Support Model for Weekly Operation of Hydrothermal Systems by Stochastic Nonlinear Optimization," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 143-161, Springer.
- Rosella Giacometti & Maria Teresa Vespucci & Marida Bertocchi & Giovanni Barone Adesi, 2011. "Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 163-179, Springer.
- Chefi Triki & Antonio J. Conejo & Lina P. Garcés, 2011. "Short-Term Trading for Electricity Producers," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 181-201, Springer.
- Antonio Alonso-Ayuso & Nico di Domenica & Laureano F. Escudero & Celeste Pizarro, 2011. "Structuring Bilateral Energy Contract Portfolios in Competitive Markets," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 203-226, Springer.
- Marte Fodstad & Kjetil T. Midthun & Frode Rømo & Asgeir Tomasgard, 2011. "Tactical Portfolio Planning in the Natural Gas Supply Chain," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 227-252, Springer.
- Dimitri Drapkin & Ralf Gollmer & Uwe Gotzes & Frederike Neise & Rüdiger Schultz, 2011. "Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 253-271, Springer.
- Andreas Ehrenmann & Yves Smeers, 2011. "Stochastic Equilibrium Models for Generation Capacity Expansion," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 273-310, Springer.
- Holger Heitsch & Werner Römisch, 2011. "Scenario Tree Generation for Multi-stage Stochastic Programs," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 313-341, Springer.
- Georg Ch. Pflug & Alois Pichler, 2011. "Approximations for Probability Distributions and Stochastic Optimization Problems," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 343-387, Springer.
- Michael A.H. Dempster & Elena A. Medova & Yee Sook Yong, 2011. "Comparison of Sampling Methods for Dynamic Stochastic Programming," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 389-425, Springer.
- René Henrion & Cyrille Strugarek, 2011. "Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 427-439, Springer.
- Csaba I. Fábián & Gautam Mitra & Diana Roman & Victor Zverovich & Tibor Vajnai & Edit Csizmás & Olga Papp, 2011. "Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study," International Series in Operations Research & Management Science, in: Marida Bertocchi & Giorgio Consigli & Michael A. H. Dempster (ed.), Stochastic Optimization Methods in Finance and Energy, edition 1, chapter 0, pages 441-469, Springer.
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