A cutting-plane approach to mixed 0-1 stochastic integer programs

Article Abstract:

A cutting-plane approach was used to surmount relaxing problems in mixed 0-1 integer programming. The technique called Lift-and-Project cutting planes is a relaxation technique which allows the decomposition of a problem into smaller subproblems that can be used to yield first state solutions. These first state solutions were shown to be applicable to the other subproblems generated in the decomposition.

Models, Analysis, Lagrangian functions, Decomposition (Mathematics)

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Discretized reality and spurious profits in stochastic programming models for asset/liability management

Article Abstract:

A study of the implications of asset price on the role of asset-price uncertainty in practical portfolio investment problems was studied using stochastic programming models. Simulations showed that incorrect perceptions on the implications of asset price on portfolio investment problems tended to increase arbitrage opportunities, and subsequently introduce bias in the optimal investment strategy.

Methods, Usage, Portfolio management, Stochastic approximation

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