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Dynamic Stochastic Programming for Asset-Liability Management · Study

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PreprintDynamic Stochastic Programming for Asset-Liability Management

Giorgio Consigli1998

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Preprintgreen1998

Dynamic Stochastic Programming for Asset-Liability Management

Giorgio Consigli · M. A. H. Dempster

52 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Stochastic processes and financial applications Advanced Optimization Algorithms Research

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References

1991Scenarios and Policy Aggregation in Optimization Under Uncertainty 1997Strategic asset allocation 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs 1986A Bank Asset and Liability Management Model 1995More on a Stochastic Asset Model for Actuarial Use 1961On the Solution of Two-stage Linear Programs under Uncertainty 1972A Dynamic Model for Bond Portfolio Management 1989Stochastic network optimization models for investment planning

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2013A robust optimization approach to asset-liability management under time-varying investment opportunities 2013Long-term bank balance sheet management: Estimation and simulation of risk-factors

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1995Multistage stochastic programs: The state-of-the-art and selected bibliographyother · 8 shared references 2003Financial planning via multi-stage stochastic optimizationarticle · 7 shared references 1998Dynamic stochastic programmingfor asset-liability managementarticle · 6 shared references 1991Solving multistage stochastic networks: An application of scenario aggregationarticle · 6 shared references 2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplificationsarticle · 6 shared references 2013Long-term bank balance sheet management: Estimation and simulation of risk-factorsarticle · 6 shared references

Details

Year1998

Typepreprint

Published1998-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations52

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.34780

openalex_workW1517678138

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