Displaying similar documents to “A second-order stochastic dominance portfolio efficiency measure”

Risk objectives in two-stage stochastic programming models

Jitka Dupačová (2008)

Kybernetika

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In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn...

A two-stage stochastic optimization model for a gas sale retailer

F. Maggioni, Maria Teresa Vespucci, E. Allevi, Marida Bertocchi, M. Innorta (2008)

Kybernetika

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The paper deals with a new stochastic optimization model, named OMoGaS–SV (Optimization Modelling for Gas Seller–Stochastic Version), to assist companies dealing with gas retail commercialization. Stochasticity is due to the dependence of consumptions on temperature uncertainty. Due to nonlinearities present in the objective function, the model can be classified as an NLP mixed integer model, with the profit function depending on the number of contracts with the final consumers, the...