SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT

被引：49

作者：

Better, Marco ^{[1
]}

Glover, Fred ^{[1
]}

Kochenberger, Gary ^{[2
]}

Wang, Haibo ^{[3
]}

机构：

[1] OptTek Syst Inc, Boulder, CO 80302 USA

[2] Univ Colorado, Denver, CO 80202 USA

[3] Texas A& M Int Univ, Laredo, TX 78041 USA

来源：

INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING | 2008年 / 7卷 / 04期

关键词：

Optimization; simulation; portfolio selection; risk management;

D O I：

10.1142/S0219622008003137

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Simulation optimization is providing solutions to important practical problems previously beyond reach. This paper explores how new approaches are significantly expanding the power of simulation optimization for managing risk. Recent advances in simulation optimization technology are leading to new opportunities to solve problems more e. effectively. Specifically, in applications involving risk and uncertainty, simulation optimization surpasses the capabilities of other optimization methods not only in the quality of solutions but also in their interpretability and practicality. In this paper, we demonstrate the advantages of using a simulation optimization approach to tackle risky decisions, by showcasing the methodology on two popular applications from the areas of finance and business process design.

引用

页码：571 / 587

页数：17