Alan J. King - researchr alias

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Viewing Publication 1 - 17 from 17

2014

Middleware for financial risk data aggregationAlan J. King, Aviv Orani, Francis N. Parr. ibmrd, 58(4), 2014. [doi]

2009

Requirements for systemic risk management in the financial sector: invited talkDonna N. Dillenberger, Alan J. King, Francis N. Parr. sc 2009: [doi]

2005

19. Stochastic Optimization for Lake Eutrophication ManagementAlan J. King, László Somlyódy, Roger J.-B. Wets. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 347-378, SIAM, 2005. [doi]

3. The IBM Stochastic Programming SystemAlan J. King, Stephen E. Wright, Gyana R. Parija, Robert Entriken. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 21-36, SIAM, 2005. [doi]

Using multi-agent simulation to understand trading dynamics of a derivatives marketAlan J. King, Olga Streltchenko, Yelena Yesha. AMAI, 44(3):233-253, 2005. [doi]

2004

On Bridging the Gap Between Stochastic Integer Programming and MIP Solver TechnologiesGyana R. Parija, Shabbir Ahmed, Alan J. King. informs, 16(1):73-83, 2004. [doi]

2003

A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under UncertaintyShabbir Ahmed, Alan J. King, Gyana R. Parija. jgo, 26(1):3-24, 2003. [doi]

2002

Applications of flexible pricing in business-to-business electronic commerceMartin Bichler, Jayant Kalagnanam, Kaan Katircioglu, Alan J. King, Richard D. Lawrence, Ho Soo Lee, Grace Y. Lin, Yingdong Lu. IBMSJ, 41(2):287-302, 2002. [doi]

Duality and martingales: a stochastic programming perspective on contingent claimsAlan J. King. mp, 91(3):543-562, 2002. [doi]

1995

Probabilistic bounds (via large deviations) for the solutions of stochastic programming problemsYuri M. Kaniovski, Alan J. King, Roger J.-B. Wets. anor, 56(1):189-208, 1995. [doi]

1993

Production planning via scenario modellingLaureano F. Escudero, Pasumarti V. Kamesam, Alan J. King, Roger J.-B. Wets. anor, 43(6):309-335, 1993. [doi]

Asymmetric risk measures and tracking models for portfolio optimization under uncertaintyAlan J. King. anor, 45(1):165-177, 1993. [doi]

Asymptotic Theory for Solutions in Statistical Estimation and Stochastic ProgrammingAlan J. King, R. Tyrrell Rockafellar. mor, 18(1):148-162, 1993. [doi]

1992

A Decomposition Method for Quadratic ProgrammingDavid L. Jensen, Alan J. King. IBMSJ, 31(1):39-48, 1992.

Frontier: A Graphical Interface for Portfolio Optimization in a Piecewise Linear-Quadratic Risk FrameworkDavid L. Jensen, Alan J. King. IBMSJ, 31(1):62-70, 1992.

Sensitivity analysis for nonsmooth generalized equationsAlan J. King, R. Tyrrell Rockafellar. mp, 55:193-212, 1992.

1989

Generalized Delta Theorems for Multivalued Mappings and Measurable SelectionsAlan J. King. mor, 14(4):720-736, 1989. [doi]

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