The performance of stochastic dynamic and fixed mix portfolio models

DOI10.1016/S0377-2217(01)00195-3zbMath1030.90044OpenAlexW2062049475MaRDI QIDQ1600971

Kjetil Høyland, Stein W. Wallace, Stein-Erik Fleten

Publication date: 16 June 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(01)00195-3

zbMATH Keywords

stochastic programmingsimulationnonlinear programmingperformance measurementasset liability managementportfolio selection

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

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Uses Software

• AMPL
• MINOS
• bootstrap

Cites Work

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• Generating Scenario Trees for Multistage Decision Problems
• Dynamic models for fixed-income portfolio management under uncertainty
• Robust optimization models for managing callable bond portfolios
• Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
• An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
• Scenario generation and stochastic programming models for asset liability management
• Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model

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