Probabilistic Constrained Optimization: Methodology and Applications by Stanisla

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Probabilistic Constrained Optimization by Stanislav Uryasev

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment.

FORMAT
Hardcover LANGUAGE
English CONDITION
Brand New Publisher Description

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).

Table of Contents

to the Theory of Probabilistic Functions and Percentiles.- Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights.- On Optimization of Unreliable Material Flow Systems.- Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts.- Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis.- Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems.- On Maximum Reliability Problem in Parallel-Series Systems with Two Failure Modes.- Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses.- Structure of Optimal Stopping Strategies for American Type Options.- Approximation of Value-at-Risk Problems with Decision Rules.- Managing Risk with Expected Shortfall.- On the Numerical Solution of Jointly Chance Constrained Problems.- Management of Quality of Service through Chance-constraints in Multimedia Networks.- Solution of a Product Substitution Problem Using Stochastic Programming.- Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk.- Statistical Inference of Stochastic Optimization Problems.

Review

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

Long Description

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 book 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). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

Review Quote

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

Details ISBN0792366441 Short Title PROBABILISTIC CONSTRAINED OPTI Series Nonconvex Optimization and Its Applications Language English ISBN-10 0792366441 ISBN-13 9780792366447 Media Book Format Hardcover Series Number 49 Subtitle Methodology and Applications Place of Publication Dordrecht Pages 308 Edited by Stanislav Uryasev DOI Author Stanislav Uryasev Edition Description 2001 ed. Year 2000 Edition 2001st Publication Date 2000-11-30 Alternative 9781441948403 DEWEY 332.6015195 Illustrations XII, 308 p. Audience Undergraduate Country of Origin US Product Class Description Mechanical Engineering Publisher Kluwer Academic Publishers Imprint Kluwer Academic Publishers Country of Publication United States US Release Date 2000-11-30
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