Stochastic Network Programming for Financial Planning Problems

Cited In (60)

Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization
Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems
Newton-type methods for stochastic programming.
On-line portfolio selection using stochastic programming
Asset liability management for the parliamentary pension scheme of Uganda by stochastic programming
Bank asset and liability management under uncertainty
An optimization model for stochastic project networks with cash flows
Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
Dynamic models for fixed-income portfolio management under uncertainty
Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
Stochastic programming for funding mortgage pools
The optimal portfolio problem with coherent risk measure constraints.
Exact methods for large-scale multi-period financial planning problems
Multi-period stochastic portfolio optimization: block-separable decomposition
Portfolio diversification in the sovereign credit swap markets
Solving stochastic transportation network protection problems using the progressive hedging-based method
Strategic asset allocation
A risk function for the stochastic modeling of electric capacity expansion
Computational assessment of distributed decomposition methods for stochastic linear programs
Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
Financial planning via multi-stage stochastic optimization.
A progressive hedging approach for surgery planning under uncertainty
Stochastic dual dynamic integer programming
Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
The computation of the worst conditional expectation.
Simulation and optimization approaches to scenario tree generation
Strategic financial risk management and operations research
Scenario generation and stochastic programming models for asset liability management
Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
A mixed R{\&}D projects and securities portfolio selection model
Combinatorial optimization: current successes and directions for the future
Portfolio rebalancing model with transaction costs based on fuzzy decision theory
A stochastic programming model for funding single premium deferred annuities
Coupling a memetic algorithm to simulation models for promising multi-period asset allocations
Generating interest rate scenarios for bank asset liability management
Multiperiod portfolio optimization with terminal liability: bounds for the convex case
A stochastic programming model for money management
Mean-variance-skewness model for portfolio selection with transaction costs
Discretized reality and spurious profits in stochastic programming models for asset/liability management
On the effectiveness of scenario generation techniques in single-period portfolio optimization
A management system for decompositions in stochastic programming
Time to wealth goals in capital accumulation
Heuristics for cardinality constrained portfolio optimization
Optimal security liquidation algorithms
Solving long-term financial planning problems via global optimization
A parsimonious model for generating arbitrage-free scenario trees
Optimal capital growth with convex shortfall penalties
Dynamic portfolio management under competing representations
Modeling of financial supply chain
Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
Barycentric scenario trees in convex multistage stochastic programming
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Dynamic asset allocation for varied financial markets under regime switching framework
Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model
Dynamic hedging of basket options under proportional transaction costs using receding horizon control
A stochastic multi-agent optimization model for energy infrastructure planning under uncertainty in an oligopolistic market
Modeling financial reinsurance in the casualty insurance business via stochastic programming

This page was built for publication: Stochastic Network Programming for Financial Planning Problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4032487)