Stochastic Programming: Applications in Finance, Energy, Planning and Logistics: Applications in Finance, Energy, Planning and Logistics

William T. Ziemba

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This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Contents:
Introduction and Summary

Papers in Finance:

Longevity Risk Management for Individual Investors

Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals

Intertemporal Surplus Management with Jump Risks

Jump-Diffusion Risk-Sensitive Benchmarked Asset Management

Dynamic Portfolio Optimization under Regime-Based Firm Strength

Options Portfolio Management as a Chance Constrained Problem

Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios under Some Sources of Uncertainty

Stochastic Programming and Optimization in Horserace Betting

Papers in Production Planning and Logistics:

Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective

A Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon

Prioritizing Network Interdiction of Nuclear Smuggling

Sawmill Production Planning under Uncertainty: Modelling and Solution Approaches

Papers on Energy:

An Electricity Procurement Model with Energy and Peak Charges

A Stochastic Game Model Applied to the Nordic Electricity Market

Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants

Papers on Telecommunications:

Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks: Sensitivity to Input Parameters

Stochastic Frequency Assignment Problem

Readership: Advanced undergraduate students, graduate students and researchers who are interested in the applications of stochast

Language: English

Pages: 549

Format: ebook

Release: November 28, 2012

ISBN 13: 9789814407526

Stochastic Programming: Applications in Finance, Energy, Planning and Logistics: Applications in Finance, Energy, Planning and Logistics

William T. Ziemba

0/5 ( ratings)

Read Download

Language: English

Pages: 549

Format: ebook

Release: November 28, 2012

ISBN 13: 9789814407526

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Stochastic Programming: Applications in Finance, Energy, Planning and Logistics: Applications in Finance, Energy, Planning and Logistics

Stochastic Programming: Applications in Finance, Energy, Planning and Logistics: Applications in Finance, Energy, Planning and Logistics

Stochastic Programming: Applications in Finance, Energy, Planning and Logistics: Applications in Finance, Energy, Planning and Logistics

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