Business & Economics Books:

Probabilistic Constrained Optimization

Methodology and Applications
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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).
Release date Australia
November 30th, 2000
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
  • Undergraduate
Contributor
  • Edited by Stanislav Uryasev
Illustrations
xii, 308 p.
Pages
308
Dimensions
155x235x19
ISBN-13
9780792366447
Product ID
9984812

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