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Probabilistic constrained optimization : methodology and applications

Probabilistic constrained optimization : methodology and applications (Loan 2 times)

Material type
단행본
Personal Author
Ur??s?v, S. P. (Stanislav Pavlovich)
Title Statement
Probabilistic constrained optimization : methodology and applications / edited by Stanislav P. Uryasev.
Publication, Distribution, etc
Boston :   Kluwer Academic Publishers,   2000.  
Physical Medium
xii, 307 p. : ill. ; 25 cm.
Series Statement
Nonconvex optimization and its applications ; v. 49
ISBN
0792366441 (alk. paper)
Bibliography, Etc. Note
Includes bibliographical references.
Subject Added Entry-Topical Term
Portfolio management -- Statistical methods. Mathematical optimization. Probabilities.
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001 000001084199
005 20030217125643
008 000907s2000 maua b 000 0 eng
010 ▼a 00046976
020 ▼a 0792366441 (alk. paper)
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002
042 ▼a pcc
049 0 ▼l 151131808
050 0 0 ▼a HG4529.5 ▼b .P76 2000
082 0 0 ▼a 332.6/01/5195 ▼2 21
090 ▼a 332.601 ▼b P962
245 0 0 ▼a Probabilistic constrained optimization : ▼b methodology and applications / ▼c edited by Stanislav P. Uryasev.
260 ▼a Boston : ▼b Kluwer Academic Publishers, ▼c 2000.
300 ▼a xii, 307 p. : ▼b ill. ; ▼c 25 cm.
440 0 ▼a Nonconvex optimization and its applications ; ▼v v. 49
504 ▼a Includes bibliographical references.
650 0 ▼a Portfolio management ▼x Statistical methods.
650 0 ▼a Mathematical optimization.
650 0 ▼a Probabilities.
700 1 ▼a Ur??s?v, S. P. ▼q (Stanislav Pavlovich)

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.601 P962 Accession No. 151131808 Availability Available Due Date Make a Reservation Service C

Contents information

Table of Contents

Preface. Introduction to the Theory of Probabilistic Functions and Percentiles; S. Uryasev. Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights; M. Broadie, et al. On Optimization of Unreliable Material Flow Systems; Y. Ermoliev, et al. Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts; K. Frauendorfer, M. Schurle. Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis; A.N. Golodnikov, et al. Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems; Y.S. Kan, A.I. Kibzun. On Maximum Realiability Problem in Parallel-Series Systems with Two Failure Modes; V. Kirilyuk. Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses; A. Kreinin, A. Levin. Structure of Optimal Stopping Strategies for American Type Options; A.G. Kukush, D.S. Silvestrov. Approximation of Value-at-Risk Problems with Decision Rules; R. Lepp. Managing Risk with Expected Shortfall; H. Mausser, D. Rosen. On the Numerical Solution of Jointly Chance Constrained Problems; J. Mayer. Management of Quality of Service through Chance-constraints in Multimedia Networks; E.A. Medova, J.E. Scott. Solution of a Product Substitution Problem Using Stochastic Programming; M.R. Murr, A. Prekopa. Some Remarks on the Value-at-Risk and the Conditional Value-at-risk; G.Ch. Pflug. Statistical Inference of Stochastic Optimization Problems; A. Shapiro.


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