Stochastic Optimization Methods in Finance and Energy

1. Using the Kelly Criterion for Investing
William T. Ziemba, Leonard C. MacLean

2. Designing Minimum Guaranteed Return Funds
Michael A.H. Dempster, Matteo Germano, Elena A. Medova, Muriel I. Rietbergen, Francesco Sandrini, Mike Scrowston

3. Performance Enhancements for Defined Benefit Pension Plans
John M. Mulvey, Thomas Bauerfeind, Koray D. Simsek, Mehmet T. Vural

4. Hedging Market and Credit Risk in Corporate Bond Portfolios
Patrizia Beraldi, Giorgio Consigli, Francesco De Simone, Gaetano Iaquinta, Antonio Violi

5. Dynamic Portfolio Management for Property and Casualty Insurance
Giorgio Consigli, Massimo di Tria, Michele Gaffo, Gaetano Iaquinta, Vittorio Moriggia, Angelo Uristani

6. Pricing Reinsurance Contracts
A. Consiglio, Domenico De Giovanni

7. A Decision Support Model for Weekly Operation of Hydrothermal Systems by Stochastic Nonlinear Optimization
Andres Ramos, Santiago Cerisola, Jesus M. Latorre, Rafael Bellido, Alejandro Perea, Elena Lopez

8. Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
Rosella Giacometti, Maria Teresa Vespucci, Marida Bertocchi, Giovanni Barone Adesi

9. Short-Term Trading for Electricity Producers
Chefi Triki, Antonio J. Conejo, Lina P. Garcés

10. Structuring Bilateral Energy Contract Portfolios in Competitive Markets
Antonio Alonso-Ayuso, Nico di Domenica, Laureano F. Escudero, Celeste Pizarro

11. Tactical Portfolio Planning in the Natural Gas Supply Chain
Marte Fodstad, Kjetil T. Midthun, Frode Rømo, Asgeir Tomasgard

12. Risk Management with Stochastic Dominance Models in Energy Systems with Dispersed Generation
Dimitri Drapkin, Ralf Gollmer, Uwe Gotzes, Frederike Neise, Rüdiger Schultz

13. Stochastic Equilibrium Models for Generation Capacity Expansion
Andreas Ehrenmann, Yves Smeers

14. Scenario Tree Generation for Multi-stage Stochastic Programs
Holger Heitsch, Werner Römisch

15. Approximations for Probability Distributions and Stochastic Optimization Problems
Georg Ch. Pflug, Alois Pichler

16. Comparison of Sampling Methods for Dynamic Stochastic Programming
Michael A.H. Dempster, Elena A. Medova, Yee Sook Yong

17. Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae
René Henrion, Cyrille Strugarek

18. Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study
Csaba I. Fábián, Gautam Mitra, Diana Roman, Victor Zverovich, Tibor Vajnai, Edit Csizmás, Olga Papp

Nyckelord: Economics/Management Science, Operations Research/Decision Theory, Energy Economics, Financial Economics, Optimization