Short Term Financial Planning under Uncertainty

DOI10.1287/mnsc.28.6.670zbMath0482.90054OpenAlexW1975929016MaRDI QIDQ3941178

J. G. Kallberg, Ryen W. White, William T. Ziemba

Publication date: 1982

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.28.6.670

zbMATH Keywords

uncertaintytheory of the firmstochastic linear programminglinear simple recourse problemsshort term financial planningWets's algorithm

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Production models (90B30) Production theory, theory of the firm (91B38)

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ALM models based on second order stochastic dominance ⋮ Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs ⋮ A stochastic programming model for funding single premium deferred annuities ⋮ Financial planning via multi-stage stochastic optimization. ⋮ Generating interest rate scenarios for bank asset liability management ⋮ Multiperiod mean-variance efficient portfolios with endogenous liabilities ⋮ Bounds on the value of information in uncertain decision problems II ⋮ A stochastic programming process model for investment planning ⋮ Log-robust portfolio management with parameter ambiguity ⋮ A stochastic programming approach to cash management in banking ⋮ Workforce planning and financing on a production/capital discrete-time model ⋮ Bank asset and liability management under uncertainty

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