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A Monte Carlo-Based Framework for Two-Stage Stochastic Programming: Application to Bond Portfolio Optimization.

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第一作者： Hissah,Albaqami

第一单位： Department of Mathematics and Systems Engineering, Florida Institute of Technology, Melbourne, FL 32901, USA.;Department of Mathematics, College of Science, Turabah University College, Taif University, Turbah 29731-9086, Saudi Arabia.

作者： Hissah,Albaqami ^[1] ; Mehdi,Mrad ^[2] ; Anis,Gharbi ^[3] ; Munevver Mine,Subasi ^[4]

作者单位： Department of Mathematics and Systems Engineering, Florida Institute of Technology, Melbourne, FL 32901, USA.;Department of Mathematics, College of Science, Turabah University College, Taif University, Turbah 29731-9086, Saudi Arabia. ^[1] Essect School of Business, University of Tunis, Tunis 1089, Tunisia.;Business Analytics and Decision Making Lab, Tunis Business School, University of Tunis, Bir El Kassaa 2059, Tunisia. ^[2] Department of Industrial Engineering, College of Engineering, King Saud University, Riyadh 11421, Saudi Arabia. ^[3] Department of Mathematics and Systems Engineering, Florida Institute of Technology, Melbourne, FL 32901, USA. ^[4]

关键词 Monte Carlo simulation bond portfolio optimization decision-making under uncertainty entropy information theory mixed-integer linear programming (MILP)sample average approximation (SAA)stochastic programming uncertainty quantification

DOI 10.3390/e27111118

PMID 41294961

发布时间 2025-11-28

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