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 / edited by Marida Bertocchi, Giorgio Consigli, Michael A. H. Dempster.

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to f...

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Bibliographic Details
Corporate Author: SpringerLink (Online service)
Other Authors: Bertocchi, Marida (Editor), Consigli, Giorgio (Editor), Dempster, Michael A. H. (Editor)
Format: eBook
Language:English
Published: New York, NY : Springer New York : Imprint: Springer, 2011.
Edition:1st ed. 2011.
Series:International Series in Operations Research & Management Science, 163
Springer eBook Collection.
Subjects:
Operations research.
Decision making.
Energy policy.
Energy and state.
Macroeconomics.
Mathematical optimization.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 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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