We employ a stochastic programming approach to solve these problems, which has advantages over other methods and captures the underlying institutional structure of the sidecar. We detail the method ...

Thus, ALP reformulations can present an attractive alternative for applications that involve dynamic stochastic matching. You, Fan; Vossen, Thomas. An Approximate Dynamic Programming Approach to ...

Stochastic programming methods can be applied to portfolio optimization in the context of pension fund management. In this paper we apply stochastic programming wherein the allocations are found among ...