A major issue in any application of multistage stochastic programming is the representation
of the underlying random data process. We discuss the case when enough data paths can …

This volume is a collection of research contributions to applied problems in finance and energy
which are formulated and solved in the framework of stochastic optimization. The invited …

We use a fairly general framework to analyze a rich variety of financial optimization models
presented in the literature, with emphasis on contributions included in this volume and a …

Multistage stochastic programming - in contrast to stochastic control - has found wideapplication
in the formulation and solution of financial problems characterized by a largenumber of …

… See also in this volume the chapter of Giorgio Szegö. … I would like to thank Giorgio Szegö,
who has been a continuous … on my joint work with Giorgio Frascella, to be accredited with the …

Stochastic optimization models have been extensively applied to financial portfolios and have
proven their effectiveness in asset and asset-liability management. Occasionally, however…

Increasing financial pressure on State-controlled pension systems has caused, over the last
two decades or so, an unprecedented effort by private pension funds (PFs) and insurance …

Volatility-based and volatility targeting approaches have become popular among equity
fund managers after the introduction in 1993 of the VIX, the implied volatility index on the …

We analyse an optimal goal-based households’ asset-liability management problem
characterised by a real estate target and a retirement goal over a long-term planning horizon. The …

KLAUs BERGE, GIORGIO CONSIGLI, AND WILLIAM T. ZIEMBA he Federal Reserve (Fed)
model provides a fi'amework for discussing stock market over-and undervaluation. It was …