Formulation of the Russell-Yasuda Kasai Financial Planning Model
From MaRDI portal
Publication:2770090
DOI10.1287/opre.46.4.433zbMath0993.91503OpenAlexW2171185835MaRDI QIDQ2770090
David R. Cariño, William T. Ziemba
Publication date: 7 February 2002
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.46.4.433
Related Items (39)
ALM models based on second order stochastic dominance ⋮ Evolutionary portfolio selection with liquidity shocks ⋮ Applications of stochastic programming under incomplete information ⋮ Postoptimality for multistage stochastic linear programs ⋮ Optimal savings management for individuals with defined contribution pension plans ⋮ Optimal deleveraging with nonlinear temporary price impact ⋮ Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints ⋮ Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products ⋮ Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling ⋮ Designing and pricing guarantee options in defined contribution pension plans ⋮ Cost/risk balanced management of scarce resources using stochastic programming ⋮ A bi-level optimization model for the asset-liability management of insurance companies ⋮ Management of non-maturing deposits by multistage stochastic programming ⋮ A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES ⋮ Asset and liability modelling for participating policies with guarantees ⋮ Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ On-line portfolio selection using stochastic programming ⋮ Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999 ⋮ Capital growth with security ⋮ Intertemporal surplus management ⋮ Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ The duality of option investment strategies for hedge funds ⋮ A stochastic programming model for asset liability management of a Finnish pension company ⋮ Multi-period stochastic portfolio optimization: block-separable decomposition ⋮ Computation of feasible portfolio control strategies for an insurance company using a discrete time asset/liability model ⋮ Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model ⋮ Solving ALM problems via sequential stochastic programming ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Markowitz principles for multi-period portfolio selection problems with moments of any order ⋮ A multistage linear stochastic programming model for optimal corporate debt management ⋮ Workforce planning and financing on a production/capital discrete-time model ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach ⋮ Robust portfolio selection under downside risk measures ⋮ A parsimonious model for generating arbitrage-free scenario trees ⋮ Optimal retirement planning with a focus on single and joint life annuities ⋮ Measuring risk for income streams ⋮ Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions ⋮ Optimal annuity portfolio under inflation risk
Uses Software
This page was built for publication: Formulation of the Russell-Yasuda Kasai Financial Planning Model