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A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
16 references·0 citing·37 second hop
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000Optimization of conditional value-at-risk6,722 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1993Dynamic Asset Pricing Theory.2,926 cited
  • 1991Continuous-Time Finance.1,805 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets522 cited
  • 2006The empirical behavior of sampling methods for stochastic programming426 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
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  • 2001Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.293 cited
  • 2014A Guide to Sample Average Approximation287 cited
  • 2001Scenario generation and stochastic programming models for asset liability management

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256 cited
  • 2008Efficient Asset Management215 cited
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