Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
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Publication:4287716
DOI10.1287/MNSC.39.11.1422zbMATH Open0800.90064OpenAlexW2057207686MaRDI QIDQ4287716FDOQ4287716
Authors: Randall S. Hiller, Jonathan Eckstein 
Publication date: 12 April 1994
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.39.11.1422
Cited In (17)
- Bank asset and liability management under uncertainty
- Dynamic models for fixed-income portfolio management under uncertainty
- Stochastic programming for funding mortgage pools
- From data to model and back to data: A bond portfolio management problem
- A risk function for the stochastic modeling of electric capacity expansion
- Computational assessment of distributed decomposition methods for stochastic linear programs
- Strategic financial risk management and operations research
- A stochastic programming model for funding single premium deferred annuities
- A stochastic programming model for money management
- Discretized reality and spurious profits in stochastic programming models for asset/liability management
- A model for portfolio management with mortgage-backed securities
- Towards a practical parallelisation of the simplex method
- Cash flow matching: a risk management approach
- Asset/liability management under uncertainty for fixed-income securities
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
- BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION
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