Probabilistic Constrained Optimization: Methodology and Applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boston, MA
Springer US
2000
|
| Schriftenreihe: | Nonconvex Optimization and Its Applications
49 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (XII, 308 p) |
| ISBN: | 9781475731507 9781441948403 |
| ISSN: | 1571-568X |
| DOI: | 10.1007/978-1-4757-3150-7 |
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Datensatz im Suchindex
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| discipline | Mathematik |
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| isbn | 9781475731507 9781441948403 |
| issn | 1571-568X |
| language | English |
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| spelling | Uryasev, Stanislav P. Verfasser aut Probabilistic Constrained Optimization Methodology and Applications edited by Stanislav P. Uryasev Boston, MA Springer US 2000 1 Online-Ressource (XII, 308 p) txt rdacontent c rdamedia cr rdacarrier Nonconvex Optimization and Its Applications 49 1571-568X 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 Mathematics Electronic data processing Mathematical optimization Operations research Calculus of Variations and Optimal Control; Optimization Operation Research/Decision Theory Finance/Investment/Banking Mathematical Modeling and Industrial Mathematics Numeric Computing Datenverarbeitung Mathematik Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Stochastische Optimierung (DE-588)4057625-5 s 2\p DE-604 https://doi.org/10.1007/978-1-4757-3150-7 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Uryasev, Stanislav P. Probabilistic Constrained Optimization Methodology and Applications Mathematics Electronic data processing Mathematical optimization Operations research Calculus of Variations and Optimal Control; Optimization Operation Research/Decision Theory Finance/Investment/Banking Mathematical Modeling and Industrial Mathematics Numeric Computing Datenverarbeitung Mathematik Stochastische Optimierung (DE-588)4057625-5 gnd |
| subject_GND | (DE-588)4057625-5 (DE-588)4143413-4 |
| title | Probabilistic Constrained Optimization Methodology and Applications |
| title_auth | Probabilistic Constrained Optimization Methodology and Applications |
| title_exact_search | Probabilistic Constrained Optimization Methodology and Applications |
| title_full | Probabilistic Constrained Optimization Methodology and Applications edited by Stanislav P. Uryasev |
| title_fullStr | Probabilistic Constrained Optimization Methodology and Applications edited by Stanislav P. Uryasev |
| title_full_unstemmed | Probabilistic Constrained Optimization Methodology and Applications edited by Stanislav P. Uryasev |
| title_short | Probabilistic Constrained Optimization |
| title_sort | probabilistic constrained optimization methodology and applications |
| title_sub | Methodology and Applications |
| topic | Mathematics Electronic data processing Mathematical optimization Operations research Calculus of Variations and Optimal Control; Optimization Operation Research/Decision Theory Finance/Investment/Banking Mathematical Modeling and Industrial Mathematics Numeric Computing Datenverarbeitung Mathematik Stochastische Optimierung (DE-588)4057625-5 gnd |
| topic_facet | Mathematics Electronic data processing Mathematical optimization Operations research Calculus of Variations and Optimal Control; Optimization Operation Research/Decision Theory Finance/Investment/Banking Mathematical Modeling and Industrial Mathematics Numeric Computing Datenverarbeitung Mathematik Stochastische Optimierung Aufsatzsammlung |
| url | https://doi.org/10.1007/978-1-4757-3150-7 |
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