Cash management using multi-stage stochastic programming

DOI10.1080/14697680802637908MaRDI QIDQ5190135zbMATH OpenOpenAlexFDO

Authors Robert Ferstl, Alex Weissensteiner

Publication date 12 March 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22146

zbMATH Keywords

scenario generationchange of measuremarket price of riskstochastic linear programmingcash managementdynamic stochastic programming

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

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• A stochastic programming model for money management
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• Coherent measures of risk
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Designing minimum guaranteed return funds
• From data to model and back to data: A bond portfolio management problem
• High-Performance Computing for Asset-Liability Management
• Horizon and stages in applications of stochastic programming in finance
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Scenario modeling for the management of international bond portfolios
• The Innovest Austrian Pension Fund Financial Planning Model InnoALM
• Treasury management model with foreign exchange exposure

Cited in

(16)

• A fuzzy stochastic single-period model for cash management
• A stochastic goal programming model to derive stable cash management policies
• A multi-objective approach to the cash management problem
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• A probabilistic approach to the stochastic fluid cash management balance problem
• The future of branch cash holdings management is here: new Markov chains
• Management of non-maturing deposits by multistage stochastic programming
• A combined stochastic programming and optimal control approach to personal finance and pensions
• A stochastic programming approach to cash management in banking
• Optimal cash management under uncertainty
• scientific article; zbMATH DE number 2065135 (Why is no real title available?)
• Competitive difference analysis of the cash management problem with uncertain demands
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Cash flow matching: a risk management approach
• A multistage stochastic programming framework for cardinality constrained portfolio optimization
• A multistage linear stochastic programming model for optimal corporate debt management

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