A multistage stochastic programming approach for capital budgeting problems under uncertainty
暂无分享,去创建一个
Patrizia Beraldi | Francesco De Simone | Antonio Violi | Massimo Costabile | Ivar Massabó | Emilio Russo | P. Beraldi | F. Simone | M. Costabile | I. Massabó | Emilio Russo | Antonio Violi
[1] Rüdiger Schultz,et al. Conditional Value-at-Risk in Stochastic Programs with Mixed-Integer Recourse , 2006, Math. Program..
[2] Suvrajeet Sen,et al. A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems , 2004, Manag. Sci..
[3] Manfred W. Padberg,et al. Optimal project selection when borrowing and lending rates differ , 1999 .
[4] Nicos Christofides,et al. Capital Budgeting Under Uncertainty - An Integrated Approach Using Contingent Claims Analysis and Integer Programming , 2001, Oper. Res..
[5] Shabbir Ahmed,et al. Convexity and decomposition of mean-risk stochastic programs , 2006, Math. Program..
[6] Marida Bertocchi,et al. A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants , 2012, Ann. Oper. Res..
[7] H. Weingartner,et al. Mathematical Programming and the Analysis of Capital Budgeting Problems. , 1964 .
[8] Abraham Charnes,et al. SOME NEW APPROACHES TO RISK , 1967 .
[9] P. Godinho. Monte Carlo Estimation of Project Volatility for Real Options Analysis , 2006 .
[10] Rüdiger Schultz,et al. Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse , 2008, SIAM J. Optim..
[11] S. Wallace,et al. Evaluation of scenario-generation methods for stochastic programming , 2007 .
[12] Ahti Salo,et al. Contingent Portfolio Programming for the Management of Risky Projects , 2005, Oper. Res..
[13] Prasad Kodukula,et al. Project Valuation Using Real Options: A Practitioner's Guide , 2006 .
[14] W. Ziemba,et al. Worldwide asset and liability modeling , 1998 .
[15] Dennis Kira,et al. THE EFFECT OF PROJECT RISK ON CAPITAL RATIONING UNDER UNCERTAINTY , 2000 .
[16] Michael A. H. Dempster,et al. Dynamic Stochastic Programming for Asset-Liability Management , 1998 .
[17] María Merino,et al. An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees , 2012, Comput. Oper. Res..
[18] Informationstechnik Berlin,et al. Dual Decomposition in Stochastic Integer Programming , 1996 .
[19] John R. Birge,et al. Introduction to Stochastic Programming , 1997 .
[20] Anthony E. Gear,et al. Multistage Capital Budgeting under Uncertainty , 1975 .
[21] Roy Kouwenberg,et al. Stochastic programming models for asset liability management , 2008 .
[22] H. Levy. Stochastic dominance and expected utility: survey and analysis , 1992 .
[23] Kaushik I. Amin. On the Computation of Continuous Time Option Prices Using Discrete Approximations , 1991, Journal of Financial and Quantitative Analysis.
[24] Lenos Trigeorgis,et al. A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments , 1991, Journal of Financial and Quantitative Analysis.
[25] Chan S. Park,et al. Decision Making Under Uncertainty—Real Options to the Rescue? , 2002 .
[26] R. McDonald,et al. The Value of Waiting to Invest , 1982 .
[27] María Merino,et al. On BFC-MSMIP strategies for scenario cluster partitioning, and twin node family branching selection and bounding for multistage stochastic mixed integer programming , 2010, Comput. Oper. Res..
[28] Patrizia Beraldi,et al. Capital rationing problems under uncertainty and risk , 2012, Comput. Optim. Appl..
[29] Simone Kelly,et al. A binomial lattice approach for valuing a mining property IPO , 1998 .
[30] L. J. Savage,et al. Three Problems in Rationing Capital , 1955 .
[31] Rüdiger Schultz,et al. A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse , 2011, Math. Program..
[32] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[33] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[34] H. Weingartner. Capital Budgeting of Interrelated Projects: Survey and Synthesis , 1966 .
[35] Graham A. Davis,et al. Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon , 1998 .
[36] W. Sharpe,et al. Mean-Variance Analysis in Portfolio Choice and Capital Markets , 1987 .
[37] Stewart C. Myers,et al. A NOTE ON LINEAR PROGRAMMING AND CAPITAL BUDGETING , 1972 .
[38] R. McDonald,et al. Investment and the Valuation of Firms When There Is an Option to Shut Down , 1985 .
[39] H. Weingartner,et al. Criteria for Programming Investment Project Selection , 2015 .
[40] A. Ruszczynski,et al. Optimization of Risk Measures , 2006 .
[41] Anabela Costa,et al. An approximate solution approach for a scenario-based capital budgeting model , 2010, Comput. Manag. Sci..
[42] L. Escudero,et al. The value of the stochastic solution in multistage problems , 2007 .
[43] Hüseyin Sarper,et al. CAPITAL RATIONING UNDER RISK: A CHANCE CONSTRAINED APPROACH USING UNIFORMLY DISTRIBUTED CASH FLOWS AND AVAILABLE BUDGETS , 1993 .
[44] Werner Römisch,et al. Scenario tree reduction for multistage stochastic programs , 2009, Comput. Manag. Sci..
[45] María Merino,et al. An algorithmic framework for solving large scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees , 2012, Comput. Oper. Res..
[46] S. Ross,et al. Option pricing: A simplified approach☆ , 1979 .
[47] Laureano F. Escudero,et al. BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0-1 programs , 2003, Eur. J. Oper. Res..
[48] John M. Charnes,et al. REAL OPTIONS VOLATILITY ESTIMATION WITH CORRELATED INPUTS , 2004 .
[49] Masao Fukushima,et al. A mixed R&D projects and securities portfolio selection model , 2008, European Journal of Operational Research.
[50] Richard E. Quandt,et al. Investment and Discount Rates Under Capital Rationing—A Programming Approach , 1965 .