Strategic foreign reserves risk management: Analytical framework

DOI10.1007/s10479-006-0124-6zbMath1132.91486OpenAlexW2063369614MaRDI QIDQ2480240

Jerome Kreuser, Stijn Claessens

Publication date: 31 March 2008

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

Full work available at URL: https://doi.org/10.1007/s10479-006-0124-6

zbMATH Keywords

dynamic stochastic optimizationALMasset/liabilityreserves management

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimality conditions for problems involving randomness (49K45)

Related Items

Liquidity, risk, and return: specifying an objective function for the management of foreign reserves ⋮ Strategic foreign reserves risk management: Analytical framework

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