TY - ADVS TI - Applications of stochastic optimization to sovereign institutions 1 AU - Kreuser, Jérôme L. A2 - Kreuser, Jérôme L. PY - 2012 DA - 2012/03/01 UR - https://hstalks.com/bm/2259/ AB - A review of dynamic stochastic programming (DSP), Pillars of DSP: scenario trees and models, Why DSP is important to sovereign institutions, Institutional objectives and objective functions in a DSP model, Going from "CEO speak" to "risk management speak", Mapping central bank strategic objectives to risk limits and model objectives, Various kinds of model objective functions, Handling multiple institutional objectives, How to shape distributions of multiple outcomes, Complex objectives like ratio of reserves to short-term-debt, Multiple objectives like safety, liquidity, returns, and stability, Conditional value at risk (CVaR) constraints and controlling extremes, Model structures, Controlling extreme events DB - The Business & Management Collection SN - 2059-7177 ID - 3201 PB - Henry Stewart Talks ER -