Yee Sook

Credit Suisse AG, Singapore

Investment Banking

One Raffles Link, #03-01

Singapore, 039393

Singapore

SCHOLARLY PAPERS

2

DOWNLOADS

200

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Stabilizing Implementable Decisions in Dynamic Stochastic Programming

Number of pages: 29 Posted: 08 Jan 2015
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Credit Suisse AG, Singapore
Downloads 100 (267,044)

Abstract:

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discretization bias, stability, implementable decisions, sampling errror, dynamic stochastic programming

2.

Comparison of Sampling Methods for Dynamic Stochastic Programming

Number of pages: 49 Posted: 31 Dec 2014 Last Revised: 03 Jan 2015
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Credit Suisse AG, Singapore
Downloads 100 (267,044)

Abstract:

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scenario generation, sampling methods, discretization error, scenario-based approximation, stochastic programming, in-sample and out-of-sample tests