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Generating Scenarios for the Towers Perrin Investment System
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Generating Scenarios for the Towers Perrin Investment System (1996)Generating Scenarios for the Towers Perri…Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking (2000)Timid Choices and Bold Foreca…Robust Optimization of Large-Scale Systems (1995)Robust Optimization of Large-…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)An Equilibrium Model of Bond …Stochastic modeling of assets and liabilities with mortality risk (2021)Stochastic modeling of assets…Long-term bank balance sheet management: Estimation and simulation of risk-factors (2013)Long-term bank balance sheet …Assessing What Distinguishes Highly Cited from Less-Cited Papers Published in Interfaces (2010)Assessing What Distinguishes …The Innovest Austrian Pension Fund Financial Planning Model InnoALM (2008)The Innovest Austrian Pension…Stochastic programming models for asset liability management (2008)Stochastic programming models…OR PRACTICE—Assisting Defined-Benefit Pension Plans (2008)OR PRACTICE—Assisting Defined…Robust solutions and risk measures for a supply chain planning problem under uncertainty (2007)Robust solutions and risk mea…LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications (2005)LP Modeling for Asset-Liabili…A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming (2005)A stochastic linear goal prog…The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (2003)The stable non-Gaussian asset…Financial planning via multi-stage stochastic optimization (2003)Financial planning via multi-…An Asset and Liability Management System for Towers Perrin-Tillinghast (2000)An Asset and Liability Manage…Dynamic Stochastic Programming for Asset-Liability Management (1998)Dynamic Stochastic Programmin…Strategic financial risk management and operations research (1997)Strategic financial risk mana…Making a Case for Robust Optimization Models (1997)Making a Case for Robust Opti…Multistage stochastic programs: The state-of-the-art and selected bibliography (1995)Multistage stochastic program…Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Global Asset Liability Management (2003)Two-stage stochastic minimum cost consensus models with asymmetric adjustment costs (2021)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Two-Person Dynamic Equilibrium in the Capital Market (1989)Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Stochastic Volatility Option Pricing (1994)Economic Forces and the Stock Market (1986)Predicting returns in the stock and bond markets (1986)Investing for the Long Run when Returns Are Predictable (2000)A stochastic programming model for asset liability management of a Finnish pension company (2006)Socially responsible investment portfolios: Does the optimization process matter? (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Markov Models & Optimization (1993)On robust optimization of two-stage systems (2004)Models for robust tactical planning in multi-stage production systems with uncertain demands (2009)Randomized Solutions to Convex Programs with Multiple Chance Constraints (2013)Worldwide asset and liability modeling (1998)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)Scenario generation and stochastic programming models for asset liability management (2001)Optimization Methods in Finance (2006)Stochastic dual dynamic integer programming (2018)Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment (2001)Asset/Liability Management for Pension Funds Using CVaR Constraints (2001)Dynamic Portfolio Selection Methods for Power Generation Assets (2011)Stochastic Network Programming for Financial Planning Problems (1992)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Portfolio Choice Problems (2010)Overconfidence and Excess Entry: An Experimental Approach (1999)Investor Psychology and Asset Pricing (2001)Flawed Self-Assessment (2004)
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References

  • 1995Robust Optimization of Large-Scale Systems1,959 cited
  • 2000Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking1,277 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency373 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited

Cited by

  • 1997Making a Case for Robust Optimization Models123 cited
  • 2008The Innovest Austrian Pension Fund Financial Planning Model InnoALM116 cited
  • 2003Financial planning via multi-stage stochastic optimization106 cited
  • 1997Strategic financial risk management and operations research103 cited
  • 2000An Asset and Liability Management System for Towers Perrin-Tillinghast94 cited
  • 2008Stochastic programming models for asset liability management69 cited
  • 1995Multistage stochastic programs: The state-of-the-art and selected bibliography64 cited
  • 2005A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming58 cited
  • 2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications56 cited

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  • 2003The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach54 cited
  • 1998Dynamic Stochastic Programming for Asset-Liability Management52 cited
  • 2007Robust solutions and risk measures for a supply chain planning problem under uncertainty46 cited
  • 2008OR PRACTICE—Assisting Defined-Benefit Pension Plans42 cited
  • 2013Long-term bank balance sheet management: Estimation and simulation of risk-factors31 cited
  • 2010Assessing What Distinguishes Highly Cited from Less-Cited Papers Published in Interfaces21 cited
  • 2021Stochastic modeling of assets and liabilities with mortality risk14 cited