Multi-stage decision models for financial management

Georg Ch PfIug and Werner Römisch
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Georg Ch PfIug: University of Vienna, Austria
Werner Römisch: Humboldt-University Berlin, Germany

Chapter 5 in Modeling, Measuring and Managing Risk, 2007, pp 211-244 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Multi-stage decisionsTree modelsA typical multi-stage financial optimization problemValue-of-information: standard and clairvoyant problemsAcceptability and value-of-information processesAn example for a value-of-information processEfficient frontiers in multi-stage portfolio optimizationA multi-stage insurance model

Keywords: Risk Management; Risk Measures; Stochastic Optimization; Stochastic Models; Decision Making under Uncertainty (search for similar items in EconPapers)
Date: 2007
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