Exact methods for large-scale multi-period financial planning problems

DOI10.1007/S10287-006-0037-5zbMath1170.90437OpenAlexW2057704399MaRDI QIDQ839841

Roberto Baldacci, Simon Christofides, Nicos Christofides, Marco Antonio Boschetti

Publication date: 3 September 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-006-0037-5

zbMATH Keywords

linear programmingportfolio managementlarge scale optimizationcolumn/row generation

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Linear programming (90C05)

Related Items (1)

Exact methods for large-scale multi-period financial planning problems

Uses Software

• CPLEX

Cites Work

• Exact methods for large-scale multi-period financial planning problems
• A finite conformal-elimination free algorithm over oriented matroid programming
• A stochastic programming model for money management
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• New variants of finite criss-cross pivot algorithms for linear programming
• The Criss-Cross Method for Solving Linear Programming Problems
• High-Performance Computing for Asset-Liability Management
• A convergent criss-cross method
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Stochastic Network Programming for Financial Planning Problems
• LP solvable models for portfolio optimization: a classification and computational comparison
• A New Scenario Decomposition Method for Large-Scale Stochastic Optimization

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