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High-Performance Computing for Asset-Liability Management
12 references·16 citing·35 second hop
High-Performance Computing for Asset-Liability Management (2001)High-Performance Computing for Asset-Liab…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingScenario generation and stochastic programming models for asset liability management (2001)Scenario generation and stoch…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Dynamic stochastic programmingfor asset-liability management (1998)Dynamic stochastic programmin…Introduction to Stochastic Programming (1997)Introduction to Stochastic Pr…Stochastic Programming (1995)Stochastic ProgrammingThe Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…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…A Dynamic Model for Bond Portfolio Management (1972)A Dynamic Model for Bond Port…Investment decisions and sensitivity analysis: NPV-consistency of rates of return (2018)Investment decisions and sens…Long-term bank balance sheet management: Estimation and simulation of risk-factors (2013)Long-term bank balance sheet …DETERMINATION OF THE IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY: AN EMPIRICAL STUDY FROM THE CEMENT SECTOR IN PAKISTAN (2013)DETERMINATION OF THE IMPACT O…A robust optimization approach to asset-liability management under time-varying investment opportunities (2013)A robust optimization approac…Asset-liability management under time-varying investment opportunities (2011)Asset-liability management un…No-arbitrage conditions, scenario trees, and multi-asset financial optimization (2010)No-arbitrage conditions, scen…Stochastic programming models for asset liability management (2008)Stochastic programming models…Asset-liability management for Czech pension funds using stochastic programming (2008)Asset-liability management fo…Robust stochastic programming with uncertain probabilities (2007)Robust stochastic programming…A stochastic programming approach to cash management in banking (2007)A stochastic programming appr…Solving non-linear portfolio optimization problems with the primal-dual interior point method (2006)Solving non-linear portfolio …The cult of the equity for pension funds: should it get the boot? (2005)The cult of the equity for pe…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…Hedging options under transaction costs and stochastic volatility (2003)Hedging options under transac…A Riccati-based primal interior point solver for multistage stochastic programming (2002)A Riccati-based primal interi…Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Strategic asset allocation (1997)Simulation and optimization approaches to scenario tree generation (2003)Financial scenario generation for stochastic multi-stage decision processes as facility location problems (2006)An intelligent financial portfolio trading strategy using deep Q-learning (2020)Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Evaluation of scenario-generation methods for stochastic programming (2003)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)A framework for sensitivity analysis of decision trees (2017)Portfolio Selection: Efficient Diversification of Investments. (1960)Optimization Methods in Finance (2006)Stochastic dual dynamic integer programming (2018)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Scenarios for Multistage Stochastic Programs (2000)Stochastic Programming Models (2003)Linear Programming Under Uncertainty (2004)Stochastic Linear Programming (2010)Portfolio Selection: Efficient Diversification of Investments. (1962)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Robust optimization – A comprehensive survey (2007)Distributionally Robust Optimization and Its Tractable Approximations (2010)Quantitative models for managing supply chain risks: A review (2015)Portfolio optimization with conditional value-at-risk objective and constraints (2001)A two-stage stochastic programming framework for transportation planning in disaster response (2004)Data-driven chance constrained stochastic program (2015)
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References

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  • 2010Stochastic Programming2,228 cited
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  • 1995Stochastic Programming931 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs588 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
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  • 1992Stochastic Network Programming for Financial Planning Problems267 cited
  • 2001Scenario generation and stochastic programming models for asset liability management256 cited
  • 1998Dynamic stochastic programmingfor asset-liability management186 cited
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Cited by

  • 2018Investment decisions and sensitivity analysis: NPV-consistency of rates of return83 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 programming

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58 cited
  • 2011Asset-liability management under time-varying investment opportunities56 cited
  • 2005LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications56 cited
  • 2008Asset-liability management for Czech pension funds using stochastic programming51 cited
  • 2006Solving non-linear portfolio optimization problems with the primal-dual interior point method50 cited
  • 2007A stochastic programming approach to cash management in banking45 cited
  • 2013A robust optimization approach to asset-liability management under time-varying investment opportunities45 cited
  • 2010No-arbitrage conditions, scenario trees, and multi-asset financial optimization42 cited
  • 2007Robust stochastic programming with uncertain probabilities40 cited
  • 2002A Riccati-based primal interior point solver for multistage stochastic programming39 cited
  • 2003Hedging options under transaction costs and stochastic volatility33 cited
  • 2013Long-term bank balance sheet management: Estimation and simulation of risk-factors31 cited
  • 2005The cult of the equity for pension funds: should it get the boot?28 cited
  • 2013DETERMINATION OF THE IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY: AN EMPIRICAL STUDY FROM THE CEMENT SECTOR IN PAKISTAN22 cited