Linear Programming Models: Asset–Liability Management

Optimization Methods in Finance ◽

10.1017/9781107297340.004 ◽

2018 ◽

pp. 35-52

Keyword(s):

Linear Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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Scenario generation and stochastic programming models for asset liability management

European Journal of Operational Research ◽

10.1016/s0377-2217(00)00261-7 ◽

2001 ◽

Vol 134 (2) ◽

pp. 279-292 ◽

Author(s):

Roy Kouwenberg

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Scenario Generation ◽

Asset Liability Management ◽

Liability Management

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Discretized reality and spurious profits in stochastic programming models for asset/liability management

European Journal of Operational Research ◽

10.1016/s0377-2217(96)00404-3 ◽

1997 ◽

Vol 101 (2) ◽

pp. 374-392 ◽

Author(s):

Pieter Klaassen

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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Chapter 6 Stochastic Programming Models for Asset Liability Management

Theory and Methodology - Handbook of Asset and Liability Management ◽

10.1016/s1872-0978(06)01006-4 ◽

2006 ◽

pp. 253-303 ◽

Author(s):

Roy Kouwenberg ◽

Stavros A. Zenios

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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A Linear Programming Model for Assessing Asset-Liability Management in Banks

SSRN Electronic Journal ◽

10.2139/ssrn.1542776 ◽

2009 ◽

Author(s):

Mihir Dash ◽

Ravi Pathak

Keyword(s):

Linear Programming ◽

Programming Model ◽

Linear Programming Model ◽

Asset Liability Management ◽

Liability Management

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Stochastic programming models for asset liability management

Handbook of Asset and Liability Management ◽

10.1016/b978-044453248-0.50012-5 ◽

2008 ◽

pp. 253-303 ◽

Author(s):

Roy Kouwenberg ◽

Stavros A. Zenios

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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Stochastic programming models: asset/liability management

Optimization Methods in Finance ◽

10.1017/cbo9780511753886.019 ◽

2010 ◽

pp. 279-291

Author(s):

Gerard Cornuejols ◽

Reha Tutuncu

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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Discretized Reality and Spurious Profits in Stochastic Programming Models for Asset/Liability Management

SSRN Electronic Journal ◽

10.2139/ssrn.33498 ◽

1997 ◽

Author(s):

Pieter Klaassen

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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ASSET LIABILITY MANAGEMENT IN BANK PORTFOLIOS WITH FUZZY LINEAR PROGRAMMING

FUZZY ECONOMIC REVIEW ◽

10.25102/fer.2003.02.04 ◽

2003 ◽

Vol 08 (02) ◽

Author(s):

J. de Andrés ◽

J. Angla ◽

X. Cámara ◽

M. C. Molina ◽

S. Sardà

Keyword(s):

Linear Programming ◽

Fuzzy Linear Programming ◽

Asset Liability Management ◽

Liability Management ◽

Bank Portfolios

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Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis

Management Science ◽

10.1287/mnsc.44.1.31 ◽

1998 ◽

Vol 44 (1) ◽

pp. 31-48 ◽

Author(s):

Pieter Klaassen

Keyword(s):

Asset Pricing ◽

Stochastic Programming ◽

Programming Models ◽

Financial Asset ◽

Asset Liability Management ◽

Liability Management ◽

Asset Pricing Theory ◽

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Stochastic Programming Models: Asset–Liability Management

Optimization Methods in Finance ◽

10.1017/9781107297340.018 ◽

2018 ◽

pp. 262-274

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Asset Liability Management ◽

Liability Management

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