Post-tax optimization with stochastic programming

DOI10.1016/S0377-2217(03)00240-6MaRDI QIDQ1877032zbMATH OpenFDO

Authors Reuben Settergren, Maria A. Osorio, Nalân Gülpinar, Berç Rustem

Publication date 16 August 2004

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

zbMATH Keywords

Integer programmingLinear programmingFinanceScenariosStochastic programmingPortfolio managementPost-tax optimization

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

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• scientific article; zbMATH DE number 1836452 (Why is no real title available?)
• scientific article; zbMATH DE number 772850 (Why is no real title available?)
• A minimax portfolio selection rule with linear programming solution
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Dynamic models for fixed-income portfolio management under uncertainty
• Generating scenario trees for multistage decision problems
• Robust optimal decisions with stochastic nonlinear economic systems
• Scenario generation and stochastic programming models for asset liability management
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Cited in

(4)

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Describes a project that uses

Uses Software

• CPLEX
• BPMPD

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