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

Edited by Horand I Gassmann and William T Ziemba

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Stochastic Programming; Optimization with Scenarios; Finance; Energy; Production and Logistics Applications (search for similar items in EconPapers)
Date: 2013
ISBN: 9789814407502
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Chapters in this book:

Ch 1 Introduction and Summary , pp 1-6

Horand I. Gassmann and William T. Ziemba

Ch 2 Longevity Risk Management for Individual Investors , pp 9-41

Woo Chang Kim, John M. Mulvey, Koray D. Simsek and Min Jeong Kim

Ch 3 Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals , pp 43-68

Vittorio Moriggia, Giorgio Consigli and Gaetano Iaquinta

Ch 4 Intertemporal Surplus Management with Jump Risks , pp 69-95

Mareen Benk

Ch 5 Jump-Diffusion Risk-Sensitive Benchmarked Asset Management , pp 97-127

Mark Davis and Sebastien Lleo

Ch 6 Dynamic Portfolio Optimization under Regime-Based Firm Strength , pp 129-154

Chanaka Edirisinghe and Xin Zhang

Ch 7 Option Portfolio Management as a Chance Constrained Problem , pp 155-172

Dmitry Golembiovsky and Anatoliy Abramov

Ch 8 Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios under Some Sources of Uncertainty , pp 173-219

Larraitz Aranburu, Laureano F. Escudero, M. Araceli Garín and Gloria Pérez

Ch 9 Stochastic Programming and Optimization in Horserace Betting , pp 221-256

William T. Ziemba

Ch 10 Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective , pp 259-288

Lars Hellemo, Kjetil Midthun, Asgeir Tomasgard and Adrian Werner

Ch 11 A Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon , pp 289-311

Martin B. Hæreid, Peter Schütz and Asgeir Tomasgard

Ch 12 Prioritizing Network Interdiction of Nuclear Smuggling , pp 313-346

Dennis P. Michalopoulos, David P. Morton and J. Wesley Barnes

Ch 13 Sawmill Production Planning Under Uncertainty: Modelling and Solution Approaches , pp 347-395

Masoumeh Kazemi Zanjani, Mustapha Nourelfath and Daoud Ait-Kadi

Ch 14 An Electricity Procurement Model with Energy and Peak Charges , pp 399-419

A. B. Philpott and G. Pritchard

Ch 15 A Stochastic Game Model Applied to the Nordic Electricity Market , pp 421-441

Stein-Erik Fleten and Tek Tjing Lie

Ch 16 Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants , pp 443-464

Andre L. Diniz and Maria E. P. Maceira

Ch 17 Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks: Sensitivity to Input Parameters , pp 467-486

Francesca Maggioni, Marida Bertocchi, Elisabetta Allevi, Florian A. Potra and Stein Wallace

Ch 18 Stochastic Frequency Assignment Problem , pp 487-512

Wadie Benajam, A. Gaivoronski and Abdel Lisser

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