Stochastic optimization methods in finance and energy : new financial products and energy market strategies

edited by Marida Bertocchi, Giorgio Consigli, Michael A. H. Dempster

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues

MoreLess

Year of publication:	2011 ; 1
Authors:	Bertocchi, Marida
Other Persons:	Consigli, Giorgio (contributor) ; Dempster, Michael A. H. (contributor)
Publisher:	New York, NY : Springer Science+Business Media, LLC
Subject:	Dynamische Optimierung \| Dynamic programming \| Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection \| Finanzsektor \| Financial sector \| Energiewirtschaft \| Energy sector \| Theorie \| Theory \| Wirtschaftsmathematik \| Portfoliomanagement \| Stochastische Optimierung
Description of contents:	Table of Contents [external.dandelon.com] ; Description [zbmath.org]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource v.: digital
Series:	International Series in Operations Research & Management Science ; 163
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatzsammlung ; Konferenzschrift
Language:	English
Notes:	Includes bibliographical references and index Preface; Contents; Contributors; Part I Financial Applications; 1 Using the Kelly Criterion for Investing; William T. Ziemba and Leonard C. MacLean; 1.1 Introduction; 1.2 Risk Aversion; 1.3 Understanding the Behavior of E log Strategies; 1.4 A Simulated ExampleEquity Versus Cash; 1.5 Final Comments; References; Designing Minimum Guaranteed Return Funds; Michael A.H. Dempster, Matteo Germano, Elena A. Medova,Muriel I. Rietbergen, Francesco Sandrini, and Mike Scrowston; 1 Introduction; 2 Stochastic Optimization Framework; 2.1 Set Up; 2.2 Model Constraints 2.3 Objective Functions: Expected Average Shortfall and Expected Maximum Shortfall3 Bond Pricing; 3.1 Yield Curve Model; 3.2 Pricing Coupon-Bearing Bonds; 4 Historical Backtests; 5 Robustness of Backtest Results; 6 Conclusions; References; 3 Performance Enhancements for Defined Benefit Pension Plans; John M. Mulvey, Thomas Bauerfeind, Koray D. Simsek, and Mehmet T. Vural; 3.1 Introduction; 3.2 An Asset--Liability Management Model for DB Pension Plans; 3.3 Multi-objective Functions and Solution Strategies; 3.3.1 Economic Value; 3.3.2 Volatility of Z1; 3.3.3 Worst Case of Z1 3.3.4 Probability of a Significant Contribution3.3.5 Volatility of Contribution; 3.4 Advantages of Futures Market Strategies; 3.5 Empirical Tests; 3.5.1 Historical Backtests; 3.5.2 Forward-Looking ALM Tests; 3.6 Conclusions; References; 4 Hedging Market and Credit Risk in Corporate Bond Portfolios; Patrizia Beraldi, Giorgio Consigli, Francesco De Simone,Gaetano Iaquinta, and Antonio Violi; 4.1 Introduction; 4.2 Corporate Bonds Risk Exposure; 4.2.1 Market and Credit Risk Model; 4.2.2 Default Model; 4.2.3 Price--Yield Relationship; 4.2.4 The Portfolio Value Process 4.3 Dynamic Portfolio Model4.3.1 Parameters; 4.3.2 Constraints; 4.3.3 Objective Function; 4.4 Scenario Generation; 4.5 Computational Experiments; 4.5.1 Scenario Analysis; 4.5.2 Portfolio Strategies; 4.6 Conclusions; References; 5 Dynamic Portfolio Management for Property and CasualtyInsurance; Giorgio Consigli, Massimo di Tria, Michele Gaffo, Gaetano Iaquinta, Vittorio Moriggia, and Angelo Uristani; 5.1 Introduction; 5.2 P&C Income Generation and Asset Allocation; 5.3 Asset--Liability Management for P&C Companies; 5.3.1 The ALM Model; 5.3.2 Scenario Generation 5.4 Case Study: A 10-Year P&C ALM Problem5.4.1 Optimal Investment Policy Under P&C Liability Constraints; 5.4.2 Dynamic Asset Allocation with ?1=1; 5.4.3 Investment Strategy Under Stressed P&C Scenarios; 5.5 Conclusions; References; 6 Pricing Reinsurance Contracts; Andrea Consiglio and Domenico De Giovanni; 6.1 Introduction; 6.2 Stop-Loss Reinsurance Contracts in the Property and Casualty Market; 6.3 A Stochastic Programming Model for Super-Replication; 6.3.1 Notation and Probabilistic Structure; 6.3.2 Super-Replication of ECCs; 6.3.3 Tree Generation 6.4 Asset and Liability Management with Reinsurance Contracts Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4419-9586-5 ; 978-1-283-35076-1 ; 978-1-4419-9585-8
Other identifiers:	10.1007/978-1-4419-9586-5 [DOI]
Classification:	Methoden und Techniken der Volkswirtschaft ; Methoden und Techniken der Betriebswirtschaft ; Investition, Finanzierung ; Wahrscheinlichkeitsrechnung
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014275287