Advanced Modeling and Optimization

Abstract for Paper 1 of Volume 5, Number 1, 2003, pp. 1-26


Stochastic Programming Models in Financial Optimization:
A Survey

Li-Yong YU,
Xiao-Dong JI,
Shou-Yang WANG

Institute of Systems Science,
Academy of Mathematics and Systems Sciences,
Chinese Academy of Sciences,
Beijing 100080, People's Republic of China.

 



Abstract
In this paper, we survey the stochastic programming models developed to deal with financial optimization problems. A few methods are introduced in details to generate reasonable scenarios which are of much importance for a successful model. Besides, computation aspects as well as some open problems in this area are addressed.

Keywords: Stochastic Programming, Financial Optimization; Risk Management; Scenarion Generation.