A stochastic programming approach to managing liquid asset portfolios

MaRDI QIDQ3585654zbMATH OpenFDO

Authors Helgard Raubenheimer, MacHiel F. Kruger

Publication date 20 August 2010

Full work available at URL https://eudml.org/doc/196977, http://www.kybernetika.cz/content/2010/3/536

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)

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Cites work

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

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(3)

• scientific article; zbMATH DE number 6727275 (Why is no real title available?)
• scientific article; zbMATH DE number 5221608 (Why is no real title available?)
• Towards the real time solution of strike force asset allocation problems

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