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Dynamic models for fixed-income portfolio management under uncertainty
14 references·9 citing·38 second hop
Dynamic models for fixed-income portfolio management under uncertainty (1998)Dynamic models for fixed-income portfolio…Strategic asset allocation (1997)Strategic asset allocationRobust Optimization of Large-Scale Systems (1995)Robust Optimization of Large-…A stochastic programming model for money management (1995)A stochastic programming mode…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition (1993)Stochastic Dedication: Design…Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Complete Prepayment Models for Mortgage-Backed Securities (1992)Complete Prepayment Models fo…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program (1974)Stochastic Programs with Fixe…A Dynamic Model for Bond Portfolio Management (1972)A Dynamic Model for Bond Port…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Review of the Principles of Life-office Valuations (1952)Review of the Principles of L…Portfolio Selection (1952)Portfolio SelectionA parsimonious model for generating arbitrage-free scenario trees (2016)A parsimonious model for gene…Fuzzy multi period portfolio selection with different rates for borrowing and lending (2011)Fuzzy multi period portfolio …Portfolio selection in multidimensional general and partial moment space (2009)Portfolio selection in multid…Stochastic programming models for asset liability management (2008)Stochastic programming models…A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming (2005)A stochastic linear goal prog…Optimal Financial Decision Making under Loss Averse Preferences (2003)Optimal Financial Decision Ma…Applying Operations Research Techniques to Financial Markets (2003)Applying Operations Research …Applications of stochastic programming: Achievements and questions (2002)Applications of stochastic pr…Portfolio optimization via stochastic programming: Methods of output analysis (1999)Portfolio optimization via st…Linear Programming under Uncertainty (1955)Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse (1986)A simulation-based approach to two-stage stochastic programming with recourse (1998)A finite branch-and-bound algorithm for two-stage stochastic integer programs (2004)Linear Programming Under Uncertainty (2004)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)Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Scenario generation and stochastic programming models for asset liability management (2001)Decisions with Multiple Objectives (1993)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Robust optimization – A comprehensive survey (2007)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments. (1960)Optimization Methods in Finance (2006)Stochastic dual dynamic integer programming (2018)Portfolio Selection: Efficient Diversification of Investments. (1962)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Duration Forty Years Later (1978)The Financial Theory of Defined Benefit Pension Schemes (1997)The Cohort Effect: Insights and Explanations (2004)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 1995Robust Optimization of Large-Scale Systems1,959 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1997Strategic asset allocation730 cited
  • 1952Review of the Principles of Life-office Valuations380 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
  • 1986A Bank Asset and Liability Management Model316 cited
  • 1974Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program305 cited
  • 1992Stochastic Network Programming for Financial Planning Problems267 cited
  • 1972A Dynamic Model for Bond Portfolio Management182 cited
  • 1995A stochastic programming model for money management126 cited
  • 1993Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition91 cited
  • 1992Complete Prepayment Models for Mortgage-Backed Securities73 cited

Cited by

  • 2002Applications of stochastic programming: Achievements and questions

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73 cited
  • 2008Stochastic programming models for asset liability management69 cited
  • 2005A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming58 cited
  • 2011Fuzzy multi period portfolio selection with different rates for borrowing and lending57 cited
  • 2009Portfolio selection in multidimensional general and partial moment space56 cited
  • 1999Portfolio optimization via stochastic programming: Methods of output analysis44 cited
  • 2016A parsimonious model for generating arbitrage-free scenario trees40 cited
  • 2003Applying Operations Research Techniques to Financial Markets35 cited
  • 2003Optimal Financial Decision Making under Loss Averse Preferences4 cited