. . . "[2B6E43FDD444]" . "P(GA201/08/0486), S" . "Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques" . "978-80-7394-218-2" . "2010-09-08+02:00"^^ . "Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques"@en . . "penalty functions; chance constraints; Monte-Carlo simulation; stochastic programming; Value at Risk"@en . "We deal with real-life portfolio problem with Value at Risk, transaction costs and integer allocations where the random returns are modeled using the multivariate skewed t-distribution. The ability to generate a feasible solution of the original chance constrained problem using the sample approximations of the chance constraints directly or via sample approximation of the penalty function objective is compared."@en . "1"^^ . "Proceedings of the 28th International Conference Mathematical Methods in Economics 2010, Part I" . "Jiho\u010Desk\u00E1 univerzita v \u010Cesk\u00FDch Bud\u011Bjovic\u00EDch. Ekonomick\u00E1 fakulta" . . "RIV/00216208:11320/10:10038278" . "1"^^ . . . . . . . "Branda, Martin" . . . . "288562" . . . . . "Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques"@en . "6"^^ . "Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques" . "We deal with real-life portfolio problem with Value at Risk, transaction costs and integer allocations where the random returns are modeled using the multivariate skewed t-distribution. The ability to generate a feasible solution of the original chance constrained problem using the sample approximations of the chance constraints directly or via sample approximation of the penalty function objective is compared." . "11320" . "\u010Cesk\u00E9 Bud\u011Bjovice" . "\u010Cesk\u00E9 Bud\u011Bjovice" . "RIV/00216208:11320/10:10038278!RIV11-GA0-11320___" . .