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

This paper introduces adaptive reinforcement learning (ARL) as the basis for a fully
automated trading system application. The system is designed to trade foreign exchange (FX) …

We consider strategies which use a collection of popular technical indicators as input and
seek a profitable trading rule defined in terms of them. We consider two popular computational …

In this article we identify incrementalism in budgetary processes with regularity in the
annual change in the appropriation, and non-incrementalism with irregularity in the annual …

Hierarchical planning systems have become popular for multilevel decision problems. After
reviewing the concept of hierarchical planning and citing some examples, we describe a …

In this paper we apply stochastic programming modelling and solution techniques to planning
problems for a consortium of oil companies. A multiperiod supply, transformation and …

Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate
the evolution over time of financial models of funds, complex liabilities and entire firms. …

Data conventions for the automatic input of multiperiod stochastic linear programs are
described. The input format is based on the MPSX standard and is designed to promote the …

Dynamic multistage stochastic linear programming has many practical applications forproblems
whose current decisions have to be made under future uncertainty. There are avariety of …

… Michael AH Dempster Centre for Financial Research, Judge Business School, University
of Cambridge, Trumpington Street, Cambridge CB2 1AG, UK … This phenomenon might …