A stochastic programming approach to managing liquid asset portfolios

zbMATH Open1201.90142MaRDI QIDQ3585654FDOQ3585654

Authors: Helgard Raubenheimer, MacHiel F. Kruger 

Publication date: 20 August 2010

Full work available at URL: https://eudml.org/doc/196977

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zbMATH Keywords

portfolio optimizationstochastic programmingliquid assets

Mathematics Subject Classification ID

Stochastic programming (90C15) Financial applications of other theories (91G80) Financial and insurance mathematics (aspects of mathematics education) (97M30)

Cites Work

• Generating scenario trees for multistage decision problems
• Lectures on Stochastic Programming
• Scenario generation and stochastic programming models for asset liability management
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz

Cited In (3)

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• Towards the real time solution of strike force asset allocation problems
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