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Dynamic Stochastic Programming for Asset-Liability Management
16 references·3 citing·39 second hop
Dynamic Stochastic Programming for Asset-Liability Management (1998)Dynamic Stochastic Programming for Asset-…Stochastic Programming (2014)Stochastic ProgrammingStrategic asset allocation (1997)Strategic asset allocationGenerating Scenarios for the Towers Perrin Investment System (1996)Generating Scenarios for the …Multistage stochastic programs: The state-of-the-art and selected bibliography (1995)Multistage stochastic program…More on a Stochastic Asset Model for Actuarial Use (1995)More on a Stochastic Asset Mo…Diderot, Political Writings, ed. John Hope Mason and Robert Wokler, Cambridge, Cambridge University Press, 1992, pp. xli + 225. - Malthus, An Essay on the Principle of Population, ed Donald Winch, Cambridge, Cambridge University Press, 1992, pp. xxxiii + 392. - Price, Political Writings, ed. D. O. Thomas, Cambridge, Cambridge University Press, 1991, pp. xxiv + 199. (1993)Diderot, Political Writings, …Planning under uncertainty solving large-scale stochastic linear programs (1992)Planning under uncertainty so…Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Scenarios and Policy Aggregat…Formulating Two-Stage Stochastic Programs for Interior Point Methods (1991)Formulating Two-Stage Stochas…Stochastic network optimization models for investment planning (1989)Stochastic network optimizati…On stochastic programming ii: dynamic problems under risk ∗ (1988)On stochastic programming ii:…A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Short Term Financial Planning under Uncertainty (1982)Short Term Financial Planning…A Dynamic Model for Bond Portfolio Management (1972)A Dynamic Model for Bond Port…On the Solution of Two-stage Linear Programs under Uncertainty (1961)On the Solution of Two-stage …Long-term bank balance sheet management: Estimation and simulation of risk-factors (2013)Long-term bank balance sheet …A robust optimization approach to asset-liability management under time-varying investment opportunities (2013)A robust optimization approac…A decision support system for strategic asset allocation (2011)A decision support system for…Optimum consumption and portfolio rules in a continuous-time model (1971)Essays in the Theory of Risk-Bearing. (1972)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A discussion of parameter and model uncertainty in insurance (2000)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Asset/liability management under uncertainty for fixed-income securities (1995)Strategic financial risk management and operations research (1997)Theory of games and economic behavior (2019)Dynamic Strategies for Asset Allocation (1988)Robust Optimization of Large-Scale Systems (1995)Making a Case for Robust Optimization Models (1997)Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking (2000)Financial planning via multi-stage stochastic optimization (2003)The Innovest Austrian Pension Fund Financial Planning Model InnoALM (2008)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Stochastic Programming Models (2003)Linear Programming Under Uncertainty (2004)Stochastic Linear Programming (2010)Portfolio Selection: Efficient Diversification of Investments. (1962)Stochastic Network Programming for Financial Planning Problems (1992)Scenario generation and stochastic programming models for asset liability management (2001)Stochastic dual dynamic integer programming (2018)Stochastic Programs with Recourse (1967)Contributions to the theory of stochastic programming (1973)Dynamic stochastic programmingfor asset-liability management (1998)Dual decomposition in stochastic integer programming (1999)Scenarios for Multistage Stochastic Programs (2000)Optimization under uncertainty: state-of-the-art and opportunities (2003)Dantzig-Wolfe Decomposition for Solving Multistage Stochastic Capacity-Planning Problems (2009)Solving stochastic programs with simple recourse (1983)A stochastic programming model for money management (1995)
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References

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  • 1997Strategic asset allocation730 cited
  • 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs588 cited
  • 1986A Bank Asset and Liability Management Model316 cited
  • 1995More on a Stochastic Asset Model for Actuarial Use271 cited
  • 1961On the Solution of Two-stage Linear Programs under Uncertainty197 cited
  • 1972A Dynamic Model for Bond Portfolio Management182 cited
  • 1989Stochastic network optimization models for investment planning130 cited
  • 1996Generating Scenarios for the Towers Perrin Investment System125 cited
  • 1991Formulating Two-Stage Stochastic Programs for Interior Point Methods124 cited
  • 1982Short Term Financial Planning under Uncertainty114 cited
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  • 1993Diderot, Political Writings, ed. John Hope Mason and Robert Wokler, Cambridge, Cambridge University Press, 1992, pp. xli + 225. - Malthus, An Essay on the Principle of Population, ed Donald Winch, Cambridge, Cambridge University Press, 1992, pp. xxxiii + 392. - Price, Political Writings, ed. D. O. Thomas, Cambridge, Cambridge University Press, 1991, pp. xxiv + 199.

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67 cited
  • 1995Multistage stochastic programs: The state-of-the-art and selected bibliography64 cited
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    • 2013A robust optimization approach to asset-liability management under time-varying investment opportunities45 cited
    • 2011A decision support system for strategic asset allocation39 cited
    • 2013Long-term bank balance sheet management: Estimation and simulation of risk-factors31 cited