Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition

DOI10.1287/MNSC.39.11.1422MaRDI QIDQ4287716zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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
• Towards a practical parallelisation of the simplex method
• A model for portfolio management with mortgage-backed securities
• 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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