SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Scenario generation and stochastic programming models for asset liability management · Study

ArticleShelves

ArticleScenario generation and stochastic programming models for asset liability management

Roy R. P. Kouwenberg2001

Article2001

Scenario generation and stochastic programming models for asset liability management

Roy R. P. Kouwenberg

256 citations·0/0 files stored·European Journal of Operational Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 256 citations exist upstream.

References

1991Scenarios and Policy Aggregation in Optimization Under Uncertainty 1997Strategic asset allocation 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming 1986A Bank Asset and Liability Management Model 1992Stochastic Network Programming for Financial Planning Problems

Cited by

2003Simulation and optimization approaches to scenario tree generation 2006Financial scenario generation for stochastic multi-stage decision processes as facility location problems 2020An intelligent financial portfolio trading strategy using deep Q-learning 2019A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice 2001High-Performance Computing for Asset-Liability Management 2009Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset–liability management 2013Dynamic asset allocation for varied financial markets under regime switching framework

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1998Dynamic stochastic programmingfor asset-liability managementarticle · 5 shared references 2003Financial planning via multi-stage stochastic optimizationarticle · 5 shared references 2009Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset–liability managementarticle · 5 shared references 1995Multistage stochastic programs: The state-of-the-art and selected bibliographyother · 5 shared references 2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplificationsarticle · 5 shared references 2018Stochastic dual dynamic integer programmingarticle · 4 shared references

Details

Year2001

Typearticle

Published2001-10-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations256

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/s0377-2217(00)00261-7

openalex_workW1997597349

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2001Asset/Liability Management for Pension Funds Using CVaR Constraints