Displaying similar documents to “On using multistage linking constraints for stochastic optimization as a decision-making aid”

On modelling planning under uncertainty in manufacturing.

A. Alonso-Ayuso, L. F. Escudero, M.T. Ortuño (2007)

SORT

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We present a modelling framework for two-stage and multi-stage mixed 0-1 problems under uncertainty for strategic Supply Chain Management, tactical production planning and operations assignment and scheduling. A scenario tree based scheme is used to represent the uncertainty. We present the Deterministic Equivalent Model of the stochastic mixed 0-1 programs with complete recourse that we study. The constraints are modelled by compact and splitting variable representations via scenarios. ...

A stochastic programming approach to managing liquid asset portfolios

Helgard Raubenheimer, Machiel F. Kruger (2010)

Kybernetika

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Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over...

Multistage risk premiums in portfolio optimization

Miloš Kopa, Barbora Petrová (2017)

Kybernetika

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This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller...

An asset – liability management stochastic program of a leasing company

Tomáš Rusý, Miloš Kopa (2018)

Kybernetika

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We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which...

Stochastic goal programming wth recourse

Antonio Heras Martínez, Ana García Aguado (1998)

Revista de la Real Academia de Ciencias Exactas Físicas y Naturales

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In this article we discuss several alternative formulations for Stochastic Goal Programming. Only one of these models, which is a particular case of the Stochastic Programs with Recourse, is also compatible with Bayesian Decision Theory. Moreover, it is posible to approximate its solutions by means of an iterative algorithm.