Short Term Financial Planning under Uncertainty

DOI10.1287/MNSC.28.6.670MaRDI QIDQ3941178zbMATH OpenOpenAlexFDO

Authors J. G. Kallberg, Ryen W. White, William T. Ziemba

Publication date 1982

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.28.6.670

zbMATH Keywords

linear simple recourse problemsshort term financial planningstochastic linear programmingtheory of the firmuncertaintyWets's algorithm

Mathematics Subject Classification ID

Production models (90B30) Management decision making, including multiple objectives (90B50) Linear programming (90C05) Stochastic programming (90C15) Applications of mathematical programming (90C90) Production theory, theory of the firm (91B38)

Cited in

(12)

• A stochastic programming approach to cash management in banking
• Bank asset and liability management under uncertainty
• A stochastic programming model for funding single premium deferred annuities
• Financial planning via multi-stage stochastic optimization.
• ALM models based on second order stochastic dominance
• Log-robust portfolio management with parameter ambiguity
• Workforce planning and financing on a production/capital discrete-time model
• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• Bounds on the value of information in uncertain decision problems II
• Multiperiod mean-variance efficient portfolios with endogenous liabilities
• A stochastic programming process model for investment planning
• Generating interest rate scenarios for bank asset liability management

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