High-Performance Computing for Asset-Liability Management

DOI10.1287/opre.49.6.879.10015zbMath1163.90548OpenAlexW2154683801MaRDI QIDQ3635041

Roy Kouwenberg, Jacek Gondzio

Publication date: 3 July 2009

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

Full work available at URL: https://semanticscholar.org/paper/0d4d1371276ce083b791fd9e529809850f4e2f54

Mathematics Subject Classification ID

Related Items (23)

Parallelizable preprocessing method for multistage stochastic programming problems ⋮ Exact methods for large-scale multi-period financial planning problems ⋮ A moment-matching method to generate arbitrage-free scenarios ⋮ A robust asset-liability management framework for investment products with guarantees ⋮ Coupling a memetic algorithm to simulation models for promising multi-period asset allocations ⋮ Solving nonlinear portfolio optimization problems with the primal-dual interior point method ⋮ The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement ⋮ An Embarrassingly Parallel Method for Large-Scale Stochastic Programs ⋮ Fitting random cash management models to data ⋮ Portfolio and investment risk analysis on global grids ⋮ Hedging options under transaction costs and stochastic volatility ⋮ Investment decisions and sensitivity analysis: NPV-consistency of rates of return ⋮ Parallel interior-point solver for structured quadratic programs: Application to financial planning problems ⋮ No-arbitrage conditions, scenario trees, and multi-asset financial optimization ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Operational asymptotic stochastic dominance ⋮ Cash management using multi-stage stochastic programming ⋮ A stochastic programming approach to cash management in banking ⋮ A conjugate direction based simplicial decomposition framework for solving a specific class of dense convex quadratic programs ⋮ A Riccati-based primal interior point solver for multistage stochastic programming ‐ extensions ⋮ A coherent approach to Bayesian data envelopment analysis ⋮ A primal-dual decomposition algorithm for multistage stochastic convex programming ⋮ A Riccati-based primal interior point solver for multistage stochastic programming

This page was built for publication: High-Performance Computing for Asset-Liability Management