Formulation of the Russell-Yasuda Kasai Financial Planning Model

From MaRDI portal
Revision as of 15:32, 3 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:2770090

DOI10.1287/opre.46.4.433zbMath0993.91503OpenAlexW2171185835MaRDI QIDQ2770090

David R. Cariño, William T. Ziemba

Publication date: 7 February 2002

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.46.4.433




Related Items

ALM models based on second order stochastic dominanceEvolutionary portfolio selection with liquidity shocksApplications of stochastic programming under incomplete informationPostoptimality for multistage stochastic linear programsOptimal savings management for individuals with defined contribution pension plansOptimal deleveraging with nonlinear temporary price impactAsset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraintsOptimal portfolio choice of couples with tax-deferred accounts and survival-contingent productsMultistage stochastic decision problems: approximation by recursive structures and ambiguity modelingDesigning and pricing guarantee options in defined contribution pension plansCost/risk balanced management of scarce resources using stochastic programmingA bi-level optimization model for the asset-liability management of insurance companiesManagement of non-maturing deposits by multistage stochastic programmingA MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIESAsset and liability modelling for participating policies with guaranteesCalculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk controlPension fund management with investment certificates and stochastic dominanceOn-line portfolio selection using stochastic programmingBack-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999Capital growth with securityIntertemporal surplus managementModeling financial reinsurance in the casualty insurance business via stochastic programmingThe duality of option investment strategies for hedge fundsA stochastic programming model for asset liability management of a Finnish pension companyMulti-period stochastic portfolio optimization: block-separable decompositionComputation of feasible portfolio control strategies for an insurance company using a discrete time asset/liability modelAnalyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management modelSolving ALM problems via sequential stochastic programmingA stochastic programming approach for multi-period portfolio optimizationMarkowitz principles for multi-period portfolio selection problems with moments of any orderA multistage linear stochastic programming model for optimal corporate debt managementWorkforce planning and financing on a production/capital discrete-time modelScenario generation in stochastic programming using principal component analysis based on moment-matching approachRobust portfolio selection under downside risk measuresA parsimonious model for generating arbitrage-free scenario treesOptimal retirement planning with a focus on single and joint life annuitiesMeasuring risk for income streamsEquivalence of linear deviation about the mean and mean absolute deviation about the mean objective functionsOptimal annuity portfolio under inflation risk


Uses Software