MyPictureProfessor Alexei A. Gaivoronski

Department of Industrial Economics and Technology Management

Norwegian University of Science and Technology

Alfred Getz veg 3

7491 Trondheim

Norway

tel:          +47 73 59 77 13

fax:         +47 73 59 10 45

mobile: +47 48 24 37 42

email

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Research   Teaching   Selected publications    Information for students   CV  Events

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Research

Research interests include methodology and applications of optimal decisions under uncertainty and risk management in economics, finance, engineering and services, in particular

*   Stochastic programming

*   optimization and modeling of stochastic systems: theory, algorithms and software

*   Finance

*   financial optimization

*   portfolio strategies

*   risk management, VaR

*   asset and liability management

*   Telecommunications

*   planning of telecommunication networks under uncertainty

*   economics of telecommunications

*   mobile services: business models

*   Energy

*   risk management

*   optimization of energy systems and planning under uncertainty

*   Water resources management under risk and uncertainty

*   Management and planning of water resources systems in arid and semi arid areas

*   Management of conflicting resource requirements

*   Fair pricing of scarce water resources

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Teaching

Courses in Operations Research, Finance and Industrial Economics

*   Recent courses are now on ItsLearning system. Below are the links to the last web pages of these courses that are not updated anymore.

*   TIŲ4135      Information and telecommunication economics, page in the current study program

*   TIŲ4317      Empirical and quantitative methods in finance, page in the current study program

*   IO8401        Optimization under uncertainty, page in the current study program

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Selected recent publications, see CV for full list

·         Balancing cost-risk in management optimization of water resource systems under uncertainty (with G. Sechi and P. Zuddas), accepted to Journal of Physics and Chemistry of the Earth, 2011, available online 12 June 2011, DOI:10.1016/j.pce.2011.05.015.

·      Cost/risk balanced management of scarce resources using stochastic programming (with G. Sechi and P. Zuddas), Cost/risk balanced management of scarce resources using stochastic programming, European Journal of Operational Research, v. 216(1), 2012, pp 214-224.

·         Service capacity allocation under random service demand (with Christopher Dance), accepted to Annals of Operations Research, 2011, available online 10 February 2011, DOI: 10.1007/s10479-011-0842-2.

·         Stochastic programming perspective on the agency problems under uncertainty (with Adrian Werner), Lecture Notes in Economics and Mathematical Systems, Kurt Marti ed., Springer, 2011.

·         Differentiated Service Pricing on Social Networks Using Stochastic Optimization (with D. Becker), in: Proceedings of 2011 IEEE International Conference on Services Computing, H.-A. Jacobsen, Y. Wang and P. Hung eds., 2011, IEEE Computer Society, pp.386-393, ISBN 978-0-7695-4462-5.

·         Knapsack problems with probability constraints (with A. Lisser, R. Lopez and H. Xu), Journal of Global Optimization, v. 49, No. 3 (2011), pp 397-413.

·         Evaluation and design of business models for collaborative provision of advanced mobile data services: portfolio theory approach (with J. Zoric), in: Telecommunications Modeling, Policy, and Technology, Golden, Raghavan and Wasil, eds., Springer, 2008.

·         Stochastic optimization in telecommunications. in: Handbook of Optimization in Telecommunications: Springer Science+Business Media B.V. 2006. pp. 761-800

·         Extending stochastic programming framework for modeling of several decision makers: pricing and competition in telecommunication sector (with J.-A. Audestad and A. Werner), Annals of Operations Research, 2006, v. 142, pp. 19-39.

·         Optimal portfolio selection and dynamic benchmark tracking, (with Sergiy Krylov and Nico van der Wijst ), European Journal of Operational Research, 2005, v. 163.

·         Value at Risk in Portfolio Optimization: Properties and Computational Approach (with Georg Pflug), Journal of Risk, 2005, 7(2).

·         Modeling financial reinsurance in the casualty insurance business (with Stein-Erik Fleten and Petter E. de Lange), in: ), Journal of Economic Dynamics and Control 28, 2004, 991-1012

·         Stochastic programming models for planning of telecommunication networks, in: Applications of Stochastic Programming, Wallace and Ziemba eds., MPS-SIAM Series in Optimization, 2005.

·         SQG: stochastic programming software environment, in: Applications of Stochastic Programming, Wallace and Ziemba eds., MPS-SIAM Series in Optimization, 2005.

·         On-line Portfolio Selection Using Stochastic Programming (with Fabio Stella), Journal of Economic Dynamics and Control 27 (2003) 1013-1043

·         Statutory regulations of casualty insurance companies: An example from Norway with stochastic programming analysis (with Petter E. de Lange and Kjetil Hoyland) in: Stochastic Optimization: Algorithms and Applications (S. Uryasev and P. M. Pardalos, Editors), pp. 53-83, Kluwer Academic Publishers, 2000

·         Stochastic nonstationary optimization for finding universal portfolios, (with Fabio Stella), Annals of Operations Research, 100, pp. 165-188, 2000

·         An asset liability management model for casualty insurers: complexity reduction vs. parametrized decision rules (with Petter E. de Lange), Annals of Operations Research, 99, pp.227-250, 2000.

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Information for students   

You can reach me by email indicated on the top of this page.

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Events

Trondheim Seminar on Financial Engineering and Energy Modeling

 

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