Editorial Reviews
Book 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 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.
Book Info
Presents the state-of-the-art in the theory of optimization of probabilistic functions, with engineering and finance applications. Topics covered include production planning, Value-at-Risk, asset and liability management, and material flow systems. For students, researchers, and practitioners.
Probabilistic Constrained Optimization : Methodology and Applications (Nonconvex Optimization and Its Applications),S. Uryasev,Springer,0792366441,Accounting - General,Business / Economics / Finance,Decision Support Systems (Engineering),Engineering - Industrial,General,Investments & Securities - General,Linear Programming,Mathematical optimization,Optimization (Mathematical Theory),Portfolio management,Probabilities,Science/Mathematics,Statistical methods,Technology,Mathematics / Linear Programming
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