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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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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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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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 ◽

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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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 ◽

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 ◽

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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

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