scientific article; zbMATH DE number 1304956

MaRDI QIDQ4251869zbMATH OpenFDO

Authors Pieter Klaassen

Publication date 11 May 2001

zbMATH Keywords

asset and liability modelingiterative disaggregationportfolio investment problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

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• Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach

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