• JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
 
  Bookmark and Share
 
 
Doctoral Thesis
DOI
https://doi.org/10.11606/T.45.2001.tde-20220712-115637
Document
Author
Full name
Luciano da Costa Silva
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2001
Supervisor
Title in Portuguese
Alocação ótima de ativos e derivativos em fundos de pensão via programação estocástica
Keywords in Portuguese
Análise De Risco
Atuária
Processos Estocásticos
Abstract in Portuguese
Neste trabalho, após revisarmos a teoria da decomposição estocástica para problemas de programação estocástica em multiestágios e alguns exemplos de aplicação na literatura, sugerimos um método de construção de árvores de cenários, apresentamos um código Scilab para o algoritmo de decomposição estocástica e um estudo de aplicação à alocação de ativos e opções de venda em grande fundo de pensões brasileiro
Title in English
not available
Abstract in English
In this work, after we revise the theory of stochastic decomposition for multi-stage stochastic programming problems and some examples of applications from the literature, we suggest a method for construction of scenario trees, present s Scilab code for the stochastic decomposition algorithm and a case study of the allocation problem of assets and put options in a large Brazilian fund
 
WARNING - Viewing this document is conditioned on your acceptance of the following terms of use:
This document is only for private use for research and teaching activities. Reproduction for commercial use is forbidden. This rights cover the whole data about this document as well as its contents. Any uses or copies of this document in whole or in part must include the author's name.
Publishing Date
2022-07-13
 
WARNING: Learn what derived works are clicking here.
All rights of the thesis/dissertation are from the authors
CeTI-SC/STI
Digital Library of Theses and Dissertations of USP. Copyright © 2001-2024. All rights reserved.