Table of Contents
Recent Trends for Optimization in Financial Engineering
OUTLINE
Example: Tuition Planning
FORMULATION
DATA and SOLUTIONS
Static Portfolio Model
Markowitz model
Dynamic Model
Static Markowitz Solution
Results with Static Model
Other Model Gains
Current Study
OUTLINE
Capacity Expansion Problem
Utility Function Approach
Measuring Investor Value
Determining Risk Contribution
Relation to Capacity Evaluation
Computing Capacity Value
Example: Capacity Planning
Stochastic Programming Model
Solution Results
OUTLINE
Power Systems
Power System Formulation
Power System Results
OUTLINE
GENERAL MULTISTAGE MODEL
CONCLUSIONS
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Author: I&OE
Email: jrbirge@umich.edu
Home Page: http://www-personal.engin.umich.edu/~jrbirge
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