scientific article; zbMATH DE number 1233792
From MaRDI portal
Publication:4223182
zbMath0903.00105MaRDI QIDQ4223182
No author found.
Publication date: 18 December 1998
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06)
Related Items (47)
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas ⋮ BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems ⋮ Minimization of a function of a quadratic functional with application to optimal portfolio selection ⋮ Optimal savings management for individuals with defined contribution pension plans ⋮ Optimal deleveraging with nonlinear temporary price impact ⋮ A robust asset-liability management framework for investment products with guarantees ⋮ Multi-objective stochastic programming for portfolio selection ⋮ ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Solving nonlinear portfolio optimization problems with the primal-dual interior point method ⋮ Portfolio optimization by a bivariate functional of the mean and variance ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Large-scale financial planning via a partially observable stochastic dual dynamic programming framework ⋮ Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules ⋮ Performance Enhancements for Defined Benefit Pension Plans ⋮ Stochastic programming and the option of doing it differently ⋮ Optimization of covered calls under uncertainty ⋮ Globally evolutionarily stable portfolio rules ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ On the tail mean-variance optimal portfolio selection ⋮ A mixed integer programming model for multistage mean-variance post-tax optimization ⋮ A dynamic stochastic programming model for international portfolio management ⋮ Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ Strategic foreign reserves risk management: Analytical framework ⋮ A stochastic programming model for asset liability management of a Finnish pension company ⋮ Scenario optimization asset and liability modelling for individual investors ⋮ Parallel interior-point solver for structured quadratic programs: Application to financial planning problems ⋮ A two-stage stochastic integer programming approach as a mixture of branch-and-fix coordination and Benders decomposition schemes ⋮ Constant rebalanced portfolio optimization under nonlinear transaction costs ⋮ Asset allocation using reliability method ⋮ Optimal portfolio selection and dynamic benchmark tracking ⋮ Market selection of constant proportions investment strategies in continuous time ⋮ A multi-objective multi-period stochastic programming model for public debt management ⋮ DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION ⋮ From data to model and back to data: A bond portfolio management problem ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES ⋮ Log-robust portfolio management with parameter ambiguity ⋮ Dynamic asset allocation for varied financial markets under regime switching framework ⋮ OPTIMAL HARVESTING OF FOREST AGE CLASSES UNDER PRICE UNCERTAINTY AND RISK AVERSION ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ Can stocks help mend the asset and liability mismatch? ⋮ On stochastic dynamic programming for solving large-scale planning problems under uncertainty ⋮ On \(BFC-MSMIP\) strategies for scenario cluster partitioning, and twin node family branching selection and bounding for multistage stochastic mixed integer programming ⋮ Portfolio selection problems with random fuzzy variable returns ⋮ Optimal retirement planning with a focus on single and joint life annuities
This page was built for publication: