Scenario optimization asset and liability modelling for individual investors
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Publication:2480245
DOI10.1007/S10479-006-0133-5zbMATH Open1132.91460OpenAlexW2045096981MaRDI QIDQ2480245FDOQ2480245
Authors: Andrea Consiglio, Flavio Cocco, Stavros A. Zenios 
Publication date: 31 March 2008
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10447/23441
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Cites Work
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- A comparative study of portfolio insurance.
- Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model
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- Intertemporal surplus management
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Cited In (7)
- Individual optimal pension allocation under stochastic dominance constraints
- Personalized goal-based investing via multi-stage stochastic goal programming
- A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
- A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
- Goal-based investing based on multi-stage robust portfolio optimization
- Sparse factor model based on trend filtering
- Financial planning for Young households
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