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Probabilistic Constrained Optimization: Methodology and Applications

Probabilistic Constrained Optimization: Methodology and Applications

Hardcover

Series: Nonconvex Optimization and Its Applications, Book 49

AccountingInvesting & FinanceMedical Reference

ISBN10: 0792366441
ISBN13: 9780792366447
Publisher: Springer Nature
Published: Nov 30 2000
Pages: 308
Weight: 1.39
Height: 0.75 Width: 6.14 Depth: 9.21
Language: English
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options).
Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

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