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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
Download Full-text
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Cited By
References
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
◽
Cited By ~ 143
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
◽
Cited By ~ 24
Author(s):
Pieter Klaassen
Keyword(s):
Stochastic Programming
◽
Programming Models
◽
Asset Liability Management
◽
Liability Management
Download Full-text
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
◽
Cited By ~ 16
Author(s):
Roy Kouwenberg
◽
Stavros A. Zenios
Keyword(s):
Stochastic Programming
◽
Programming Models
◽
Asset Liability Management
◽
Liability Management
Download Full-text
Stochastic programming models for asset liability management
Handbook of Asset and Liability Management
◽
10.1016/b978-044453248-0.50012-5
◽
2008
◽
pp. 253-303
◽
Cited By ~ 3
Author(s):
Roy Kouwenberg
◽
Stavros A. Zenios
Keyword(s):
Stochastic Programming
◽
Programming Models
◽
Asset Liability Management
◽
Liability Management
Download Full-text
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
Download Full-text
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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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
◽
Cited By ~ 49
Author(s):
Pieter Klaassen
Keyword(s):
Asset Pricing
◽
Stochastic Programming
◽
Programming Models
◽
Financial Asset
◽
Asset Liability Management
◽
Liability Management
◽
Asset Pricing Theory
◽
Pricing Theory
Download Full-text
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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A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
Optimization and Engineering
◽
10.1007/s11081-016-9316-3
◽
2016
◽
Vol 18
(2)
◽
pp. 349-368
◽
Cited By ~ 3
Author(s):
Alan Delgado de Oliveira
◽
Tiago Pascoal Filomena
◽
Marcelo Scherer Perlin
◽
Miguel Lejeune
◽
Guilherme Ribeiro de Macedo
Keyword(s):
Stochastic Programming
◽
Pension Fund
◽
Management Model
◽
Multistage Stochastic Programming
◽
Asset Liability Management
◽
Liability Management
◽
Fund Industry
Download Full-text
Dynamic stochastic programming tools for individual asset liability management
2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)
◽
10.1109/cifer.2014.6924044
◽
2014
◽
Author(s):
M. A. H. Dempster
Keyword(s):
Stochastic Programming
◽
Asset Liability Management
◽
Liability Management
◽
Dynamic Stochastic Programming
◽
Programming Tools
◽
Dynamic Stochastic
◽
Individual Asset
Download Full-text
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