“Diversifying the Risk Associated with Exploration”

Authors: Sjur D. Flåm and Sverre Storøy,
Affiliation: Christian Michelsen Research and University of Bergen
Reference: 1986, Vol 7, No 2, pp. 83-92.

Keywords: Stochastic models, entalpic pentalty, portfolio problems

Abstract: This paper is concerned with the allocation of exploratory efforts under the limitation of a fixed budget. A chance constrained problem is formulated. To solve this problem an algorithm is developed which is based on the entropic penalty approach recently presented by Ben-Tal.

PDF PDF (834 Kb)        DOI: 10.4173/mic.1986.2.3

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  title={{Diversifying the Risk Associated with Exploration}},
  author={Flåm, Sjur D. and Storøy, Sverre},
  journal={Modeling, Identification and Control},
  publisher={Norwegian Society of Automatic Control}