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ArticleChallenges in stochastic programming

Roger J.‐B. Wets1996

Article1996

Challenges in stochastic programming

Roger J.‐B. Wets

53 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Electric Power System Optimization Advanced Optimization Algorithms Research

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References

1990Numerical Methods for Stochastic Control Problems in Continuous Time 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments 1992Numerical Methods for Stochastic Control Problems in Continuous Time 1986Explicit Solution of a General Consumption/Investment Problem 1991Asymptotic analysis of stochastic programs 2006Stochastic Optimization Models in Finance 1994Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis)

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2000A system approach to management of catastrophic risks 2007Stability of $\varepsilon$-approximate Solutions to Convex Stochastic Programs 2000Some Aspects of Stability in Stochastic Programming

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Year1996

Typearticle

Published1996-11-01

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations53

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/bf02592149

openalex_workW2153446850

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