A stochastic programming model for funding single premium deferred annuities
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Publication:1363425
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Cites work
- A model for portfolio management with mortgage-backed securities
- A stochastic programming model for money management
- Growth Versus Security in Dynamic Investment Analysis
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- MSLiP: A computer code for the multistage stochastic linear programming problem
- Short Term Financial Planning under Uncertainty
- Solving multistage stochastic network programs on massively prallel computers
- Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
- Stochastic Network Programming for Financial Planning Problems
Cited in
(16)- Horizon and stages in applications of stochastic programming in finance
- A stochastic programming model for asset liability management of a Finnish pension company
- Multi-period stochastic portfolio optimization: block-separable decomposition
- Asset and liability risk management in financial markets
- Solving multistage stochastic network programs on massively prallel computers
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Testing the structure of multistage stochastic programs
- Dynamic models for fixed-income portfolio management under uncertainty
- Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning
- Pension fund management with investment certificates and stochastic dominance
- A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Mortgage loan portfolio optimization using multi-stage stochastic programming
- Das iterierte Cash Flow Matching am Beispiel der sofort beginnenden Rentenversicherung gegen Einmalbeitrag
- A stochastic programming model for the optimal issuance of government bonds
- Asset and liability modelling for participating policies with guarantees
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