Solving ALM problems via sequential stochastic programming (Q3593605): Difference between revisions

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+Coherent Measures of Risk
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+Stochastic optimal control. The discrete time case
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+Algorithm 659
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+Strategic asset allocation
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+Formulation of the Russell-Yasuda Kasai Financial Planning Model
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+EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
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+Scenarios for multistage stochastic programs
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+A heuristic for moment-matching scenario generation
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+Variance reduction in sample approximations of stochastic programs
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+Financial planning via multi-stage stochastic optimization.
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+Epi-Convergent Discretizations of Multistage Stochastic Programs
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+Epi-convergent discretizations of stochastic programs via integration quadratures
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+Dynamic coherent risk measures
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