Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Market Strategies - Softcover
Book 143 of 323: International Series in Operations Research & Management Science
Synopsis
Using the Kelly Criterion for Investing.- Designing Minimum Guaranteed Return Funds.- Performance Enhancements for Defined Benefit Pension Plans.- Hedging Market and Credit Risk in Corporate Bond Portfolios.- Dynamic Portfolio Management for Property and Casualty Insurance.- Pricing Reinsurance Contracts.- A Nonlinear Decision Support Model for Weekly Operation of Hydrothermal Systems.- Hedging the Portfolio of a Hydro-energy Producer.- Short-term Trading for Electricity Producers.- Structuring Bilateral Energy Contract Portfolios in Competitive Markets.- Tactical Portfolio Planning in the Natural Gas Supply Chain.- Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation.- Stochastic Equilibrium Models for Power Generation Capacity Expansion.- Scenario Tree Generation for Multi-Stage Stochastic Programs.- Scenario Generation for Stochastic Optimization Problems.- Comparison of Sampling Methods for Dynamic Stochastic Programming.- Convexity of Chance Constraints with Copula Dependent Random Variables.- Portfolio Choice Models based on Second-Order Stochastic Dominance Measures.
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