Stochastic Optimization Methods in Finance and Energy

Edited by Marida Bertocchi (), Giorgio Consigli () and Michael A. H. Dempster ()

in International Series in Operations Research and Management Science from Springer, currently edited by Camille C. Price, Joe Zhu and Frederick S. Hillier

Date: 2011
Edition: 1
ISBN: 978-1-4419-9586-5
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Chapters in this book:

Using the Kelly Criterion for Investing

William T. Ziemba and Leonard C. MacLean

Designing Minimum Guaranteed Return Funds

Michael A.H. Dempster, Matteo Germano, Elena A. Medova, Muriel I. Rietbergen, Francesco Sandrini and Mike Scrowston

Performance Enhancements for Defined Benefit Pension Plans

John M. Mulvey, Thomas Bauerfeind, Koray D. Simsek and Mehmet T. Vural

Hedging Market and Credit Risk in Corporate Bond Portfolios

Patrizia Beraldi, Giorgio Consigli, Francesco De Simone, Gaetano Iaquinta and Antonio Violi

Dynamic Portfolio Management for Property and Casualty Insurance

Giorgio Consigli, Massimo di Tria, Michele Gaffo, Gaetano Iaquinta, Vittorio Moriggia and Angelo Uristani

Pricing Reinsurance Contracts

A. Consiglio and Domenico De Giovanni

A Decision Support Model for Weekly Operation of Hydrothermal Systems by Stochastic Nonlinear Optimization

Andres Ramos, Santiago Cerisola, Jesus M. Latorre, Rafael Bellido, Alejandro Perea and Elena Lopez

Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming

Rosella Giacometti, Maria Teresa Vespucci, Marida Bertocchi and Giovanni Barone Adesi

Short-Term Trading for Electricity Producers

Chefi Triki, Antonio J. Conejo and Lina P. Garcés

Structuring Bilateral Energy Contract Portfolios in Competitive Markets

Antonio Alonso-Ayuso, Nico di Domenica, Laureano F. Escudero and Celeste Pizarro

Tactical Portfolio Planning in the Natural Gas Supply Chain

Marte Fodstad, Kjetil T. Midthun, Frode Rømo and Asgeir Tomasgard

Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation

Dimitri Drapkin, Ralf Gollmer, Uwe Gotzes, Frederike Neise and Rüdiger Schultz

Stochastic Equilibrium Models for Generation Capacity Expansion

Andreas Ehrenmann and Yves Smeers

Scenario Tree Generation for Multi-stage Stochastic Programs

Holger Heitsch and Werner Römisch

Approximations for Probability Distributions and Stochastic Optimization Problems

Georg Ch. Pflug and Alois Pichler

Comparison of Sampling Methods for Dynamic Stochastic Programming

Michael A.H. Dempster, Elena A. Medova and Yee Sook Yong

Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae

René Henrion and Cyrille Strugarek

Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study

Csaba I. Fábián, Gautam Mitra, Diana Roman, Victor Zverovich, Tibor Vajnai, Edit Csizmás and Olga Papp

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DOI: 10.1007/978-1-4419-9586-5

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