Managing financial risk in planning under uncertainty

被引：120

作者：

Barbaro, A ^{[1
]}

Bagajewicz, MJ ^{[1
]}

机构：

[1] Univ Oklahoma, Sch Chem Engn & Mat Sci, Norman, OK 73019 USA

来源：

AICHE JOURNAL | 2004年 / 50卷 / 05期

关键词：

planning; financial risk; robust optimization;

D O I：

10.1002/aic.10094

中图分类号：

TQ [化学工业];

学科分类号：

0817 ;

摘要：

A methodology is presented to include financial risk management in the framework of two-stage stochastic programming for planning under uncertainty. A known probabilistic definition of financial risk is adapted to be used in this framework and its relation to downside risk is analyzed. Using these definitions, new two-stage stochastic programming models that manage financial risk are presented. Computational issues related to these models are also discussed. (C) 2004 American Institute of Chemical Engineers AIChE J, 50: 963-989, 2004

引用

页码：963 / 989

页数：27

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