Horizon and stages in applications of stochastic programming in finance.

Marida Bertocchi Vittorio Moriggia Jitka Dupacová

Published in: Ann. Oper. Res. (2006)

Keyphrases

stochastic programming
multistage
chance constrained
capacity planning
asset liability management
computational intelligence
linear program
dynamic programming
robust optimization
power generation
decision making under uncertainty
multistage stochastic
lot sizing
risk averse
financial markets
optimal solution