A stochastic programming model for money management
From MaRDI portal
(Redirected from Publication:1127123)
Recommendations
Cites work
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
- Stochastic Network Programming for Financial Planning Problems
Cited in
(50)- A stochastic programming approach to cash management in banking
- Dynamic models for fixed-income portfolio management under uncertainty
- Modelling and analysis of multistage stochastic programming problems: A software environment
- Discretized reality and spurious profits in stochastic programming models for asset/liability management
- Scenario modeling for the management of international bond portfolios
- A model for portfolio management with mortgage-backed securities
- A stochastic programming model for funding single premium deferred annuities
- A model for designing callable bonds and its solution using tabu search
- Management of non-maturing deposits by multistage stochastic programming
- Financial planning via multi-stage stochastic optimization.
- Fitting random cash management models to data
- Models and model value in stochastic programming
- Asset/liability management under uncertainty for fixed-income securities
- A stochastic programming model for the optimal issuance of government bonds
- Stochastic dual dynamic integer programming
- A portfolio-based evaluation of affine term structure models
- Multi-period stochastic portfolio optimization: block-separable decomposition
- A stochastic soft constraints fuzzy model for a portfolio selection problem
- Horizon and stages in applications of stochastic programming in finance
- Dynamic asset allocation for varied financial markets under regime switching framework
- A multistage linear stochastic programming model for optimal corporate debt management
- A fuzzy stochastic single-period model for cash management
- Treasury management model with foreign exchange exposure
- Reducing transaction costs for interest rate risk hedging with stochastic programming
- A probabilistic approach to the stochastic fluid cash management balance problem
- Stochastic optimization in asset \& liability management: A model for non-maturing accounts
- A moment-matching method to generate arbitrage-free scenarios
- A stochastic programming approach to managing liquid asset portfolios
- Stochastic programming for funding mortgage pools
- A Stochastic Convergence Model for Portfolio Selection
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
- Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
- scientific article; zbMATH DE number 1304957 (Why is no real title available?)
- scientific article; zbMATH DE number 1304959 (Why is no real title available?)
- A risk function for the stochastic modeling of electric capacity expansion
- scientific article; zbMATH DE number 2065135 (Why is no real title available?)
- COMPACT REPRESENTATIONS OF MULTI-PERIOD STOCHASTIC PROGRAM USING SIMULATED PATH MODEL(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Cash flow matching: a risk management approach
- Cash management using multi-stage stochastic programming
- A Stochastic Programming Model
- Practical financial optimization. A library of GAMS models
- scientific article; zbMATH DE number 6296768 (Why is no real title available?)
- Computational Science - ICCS 2004
- Scenario generation and stochastic programming models for asset liability management
- Solving constrained consumption-investment problems by decomposition algorithms
- Exact methods for large-scale multi-period financial planning problems
- Generating interest rate scenarios for bank asset liability management
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999
- Scenario modelling for selective hedging strategies
This page was built for publication: A stochastic programming model for money management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1127123)
