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Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Market Strategies

Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Market Strategies

Hardcover

Series: International Operations Research & Management Science, Book 163

Business GeneralTechnology & EngineeringGeneral Mathematics

ISBN10: 1441995854
ISBN13: 9781441995858
Publisher: Springer Nature
Published: Sep 15 2011
Pages: 476
Weight: 1.71
Height: 1.18 Width: 6.37 Depth: 9.49
Language: English

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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