Probabilistic Constrained Optimization

. Ed(s): Urias'ev, S. P.

ISBN 10: 0792366441 / ISBN 13: 9780792366447

Editore: Kluwer Academic Publishers, 2000

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. This book presents the advances in the theory of optimization of probabilistic functions and several engineering and finance applications. Editor(s): Urias'ev, S. P. Series: Nonconvex Optimization and Its Applications. Num Pages: 320 pages, biography. BIC Classification: KFFM; TGP. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 19. Weight in Grams: 1390. . 2000. Hardback. . . . . Books ship from the US and Ireland. Codice articolo V9780792366447

Riassunto:

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This work presents the state-of-the-art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options).

Recensione: `It can be recommened to graduate students, researchers and practitioners in operation research and financial decision-making problems.'
Mathematical Reviews, 2002a

Dati bibliografici

Titolo: Probabilistic Constrained Optimization
Casa editrice: Kluwer Academic Publishers
Data di pubblicazione: 2000
Legatura: Rilegato
Condizione: New