Stochastic Optimization Methods in Finance and Energy

New Financial Products and Energy Market Strategies

ISBN: 978-1-4419-9585-8 (Print) 978-1-4419-9586-5 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages i-xxiii

  2. Financial application

    1. Front Matter

      Pages 1-1

    2. No Access

      Chapter

      Pages 3-20

      Using the Kelly Criterion for Investing

    3. No Access

      Chapter

      Pages 21-42

      Designing Minimum Guaranteed Return Funds

    4. No Access

      Chapter

      Pages 43-71

      Performance Enhancements for Defined Benefit Pension Plans

    5. No Access

      Chapter

      Pages 73-98

      Hedging Market and Credit Risk in Corporate Bond Portfolios

    6. No Access

      Chapter

      Pages 99-124

      Dynamic Portfolio Management for Property and Casualty Insurance

    7. No Access

      Chapter

      Pages 125-139

      Pricing Reinsurance Contracts

  3. Energy Applications

    1. Front Matter

      Pages 141-141

    2. No Access

      Chapter

      Pages 143-161

      A Decision Support Model for Weekly Operation of Hydrothermal Systems by Stochastic Nonlinear Optimization

    3. No Access

      Chapter

      Pages 163-179

      Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming

    4. No Access

      Chapter

      Pages 181-201

      Short-Term Trading for Electricity Producers

    5. No Access

      Chapter

      Pages 203-226

      Structuring Bilateral Energy Contract Portfolios in Competitive Markets

    6. No Access

      Chapter

      Pages 227-252

      Tactical Portfolio Planning in the Natural Gas Supply Chain

    7. No Access

      Chapter

      Pages 253-271

      Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation

    8. No Access

      Chapter

      Pages 273-310

      Stochastic Equilibrium Models for Generation Capacity Expansion

  4. Theory and Computation

    1. Front Matter

      Pages 311-311

    2. No Access

      Chapter

      Pages 313-341

      Scenario Tree Generation for Multi-stage Stochastic Programs

    3. No Access

      Chapter

      Pages 343-387

      Approximations for Probability Distributions and Stochastic Optimization Problems

    4. No Access

      Chapter

      Pages 389-425

      Comparison of Sampling Methods for Dynamic Stochastic Programming

    5. No Access

      Chapter

      Pages 427-439

      Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae

    6. No Access

      Chapter

      Pages 441-469

      Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study

  5. Back Matter

    Pages 471-474