English, Article edition: SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT MARCO BETTER; FRED GLOVER; GARY KOCHENBERGER; ...

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Bookmark: http://trove.nla.gov.au/version/82197
Physical Description
  • article
Language
  • English

Edition details

Title
  • SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT
Author
  • MARCO BETTER
  • FRED GLOVER
  • GARY KOCHENBERGER
  • HAIBO WANG
Physical Description
  • article
Notes
  • Simulation optimization is providing solutions to important practical problems previously beyond reach. This paper explores how new approaches are significantly expanding the power of simulation optimization for managing risk. Recent advances in simulation optimization technology are leading to new opportunities to solve problems more effectively. Specifically, in applications involving risk and uncertainty, simulation optimization surpasses the capabilities of other optimization methods not only in the quality of solutions but also in their interpretability and practicality. In this paper, we demonstrate the advantages of using a simulation optimization approach to tackle risky decisions, by showcasing the methodology on two popular applications from the areas of finance and business process design.
  • Optimization, simulation, portfolio selection, risk management
  • RePEc:wsi:ijitdm:v:07:y:2008:i:04:p:571-587
Language
  • English
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