Exact methods for large-scale multi-period financial planning problems

DOI10.1007/S10287-006-0037-5zbMATH Open1170.90437OpenAlexW2057704399MaRDI QIDQ839841FDOQ839841

Authors: Roberto Baldacci, Marco A. Boschetti, Nicos Christofides, Simon Christofides 

Publication date: 3 September 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-006-0037-5

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zbMATH Keywords

linear programminglarge scale optimizationportfolio managementcolumn/row generation

Mathematics Subject Classification ID

Linear programming (90C05) Large-scale problems in mathematical programming (90C06)

Cites Work

• A regularized decomposition method for minimizing a sum of polyhedral functions
• LP solvable models for portfolio optimization: a classification and computational comparison
• Dynamic stochastic programming for asset-liability management
• A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
• Stochastic Network Programming for Financial Planning Problems
• A stochastic programming model for money management
• High-Performance Computing for Asset-Liability Management
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Criss-cross methods: A fresh view on pivot algorithms
• A convergent criss-cross method
• The Criss-Cross Method for Solving Linear Programming Problems
• New variants of finite criss-cross pivot algorithms for linear programming
• A finite conformal-elimination free algorithm over oriented matroid programming
• Exact methods for large-scale multi-period financial planning problems

Cited In (4)

• Exact methods for large-scale multi-period financial planning problems
• Solving long-term financial planning problems via global optimization
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
• Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model

Uses Software

• CPLEX

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