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Probabilistic Constrained Optimization

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Cover of 'Probabilistic Constrained Optimization'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)
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    Chapter 2 Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights
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    Chapter 3 On Optimization of Unreliable Material Flow Systems
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    Chapter 4 Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts
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    Chapter 5 Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis
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    Chapter 6 Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems
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    Chapter 7 On Maximum Reliability Problem in Parallel-Series Systems with Two Failure Modes
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    Chapter 8 Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses
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    Chapter 9 Structure of Optimal Stopping Strategies for American Type Options
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    Chapter 10 Approximation of Value-at-Risk Problems with Decision Rules
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    Chapter 11 Managing Risk with Expected Shortfall
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    Chapter 12 On the Numerical Solution of Jointly Chance Constrained Problems
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    Chapter 13 Management of Quality of Service through Chance-constraints in Multimedia Networks
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    Chapter 14 Solution of a Product Substitution Problem Using Stochastic Programming
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    Chapter 15 Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk
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    Chapter 16 Statistical Inference of Stochastic Optimization Problems
Attention for Chapter 15: Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk
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Chapter title
Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk
Chapter number 15
Book title
Probabilistic Constrained Optimization
Published by
Springer, Boston, MA, January 2000
DOI 10.1007/978-1-4757-3150-7_15
Book ISBNs
978-1-4419-4840-3, 978-1-4757-3150-7
Authors

Georg Ch. Pflug, Pflug, Georg Ch.

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 171 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
United States 4 2%
South Africa 1 <1%
Switzerland 1 <1%
Japan 1 <1%
Spain 1 <1%
Unknown 163 95%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 49 29%
Student > Master 18 11%
Researcher 13 8%
Professor 13 8%
Professor > Associate Professor 12 7%
Other 26 15%
Unknown 40 23%
Readers by discipline Count As %
Engineering 33 19%
Business, Management and Accounting 26 15%
Economics, Econometrics and Finance 23 13%
Mathematics 18 11%
Computer Science 6 4%
Other 17 10%
Unknown 48 28%