Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...

Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).

We propose dual decomposition and solution schemes for multistage CVaRconstrained problems. These schemes meet the need for handling multiple CVaR constraints for different time frames and at ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

When studying for a doctoral degree (PhD), candidates submit a thesis that provides a critical review of the current state of knowledge of the thesis subject as well as the student’s own contributions ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...