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Financial planning via multi-stage stochastic optimization · Study

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ArticleFinancial planning via multi-stage stochastic optimization

John M. Mulvey2003

Article2003

Financial planning via multi-stage stochastic optimization

John M. Mulvey · Bala Shetty

106 citations·0/0 files stored·Computers & Operations Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Optimization and Mathematical Programming

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References

1994Investment Under Uncertainty.1994Investment under Uncertainty 1994Decisions with Multiple Objectives: Preferences and Value Tradeoffs.1959Portfolio Selection: Efficient Diversification of Investments 1993Decisions with Multiple Objectives 1962Portfolio Selection: Efficient Diversification of Investments.2010Stochastic Programming 1979Decisions with Multiple Objectives: Preferences and Value Trade-Offs

Cited by

1997Strategic financial risk management and operations research 2003Global Asset Liability Management 2021Two-stage stochastic minimum cost consensus models with asymmetric adjustment costs 2018Multi-period portfolio selection with drawdown control 2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications 2019Data-driven two-stage distributionally robust optimization with risk aversion

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1997Strategic financial risk management and operations researcharticle · 16 shared references 2008Stochastic programming models for asset liability managementchapter · 12 shared references 1995Multistage stochastic programs: The state-of-the-art and selected bibliographyother · 9 shared references 2003The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approacharticle · 9 shared references 2013Long-term bank balance sheet management: Estimation and simulation of risk-factorsarticle · 8 shared references 1998Formulation of the Russell-Yasuda Kasai Financial Planning Modelarticle · 7 shared references

Details

Year2003

Typearticle

Published2003-02-04

VenueComputers & Operations Research

ISSN-L0305-0548

Languageen

Citations106

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0305-0548(02)00141-7

openalex_workW1964985134

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