Portfolio selection techniques must provide decision makers with a dynamic model framework that incorporates realistic assumptions regarding financial markets, risk preferences, and required portfolio ...

In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation where the data process can be naturally separated into two components: one can be ...

First of all, the problem scope and the theoretical foundation are presented. The considered ISC network is a layered network in which nodes represent points of interactions between the two layers.

Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...

Option pricing and stochastic control methods constitute a vital intersection of quantitative finance and applied mathematics, offering robust frameworks for evaluating derivative securities and ...