Stochastic Network Programming for Financial Planning Problems
From MaRDI portal
Cited in
(61)- Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control
- Newton-type methods for stochastic programming.
- On-line portfolio selection using stochastic programming
- Bank asset and liability management under uncertainty
- Asset liability management for the parliamentary pension scheme of Uganda by stochastic programming
- An optimization model for stochastic project networks with cash flows
- Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
- Dynamic models for fixed-income portfolio management under uncertainty
- Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
- The optimal portfolio problem with coherent risk measure constraints.
- Stochastic programming for funding mortgage pools
- Exact methods for large-scale multi-period financial planning problems
- Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
- Solving constrained consumption-investment problems by decomposition algorithms
- Portfolio diversification in the sovereign credit swap markets
- Multi-period stochastic portfolio optimization: block-separable decomposition
- Solving stochastic transportation network protection problems using the progressive hedging-based method
- Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization
- Strategic asset allocation
- A risk function for the stochastic modeling of electric capacity expansion
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- Computational assessment of distributed decomposition methods for stochastic linear programs
- Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems
- Financial planning via multi-stage stochastic optimization.
- A progressive hedging approach for surgery planning under uncertainty
- Stochastic dual dynamic integer programming
- Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
- Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
- Simulation and optimization approaches to scenario tree generation
- The computation of the worst conditional expectation.
- Strategic financial risk management and operations research
- Scenario generation and stochastic programming models for asset liability management
- Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
- Combinatorial optimization: current successes and directions for the future
- A mixed R{\&}D projects and securities portfolio selection model
- Portfolio rebalancing model with transaction costs based on fuzzy decision theory
- A stochastic programming model for funding single premium deferred annuities
- Coupling a memetic algorithm to simulation models for promising multi-period asset allocations
- Generating interest rate scenarios for bank asset liability management
- Multiperiod portfolio optimization with terminal liability: bounds for the convex case
- A stochastic programming model for money management
- Discretized reality and spurious profits in stochastic programming models for asset/liability management
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Mean-variance-skewness model for portfolio selection with transaction costs
- A management system for decompositions in stochastic programming
- Heuristics for cardinality constrained portfolio optimization
- Time to wealth goals in capital accumulation
- Optimal security liquidation algorithms
- Solving long-term financial planning problems via global optimization
- A parsimonious model for generating arbitrage-free scenario trees
- Modeling of financial supply chain
- Dynamic portfolio management under competing representations
- Optimal capital growth with convex shortfall penalties
- Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
- A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
- Barycentric scenario trees in convex multistage stochastic programming
- Dynamic asset allocation for varied financial markets under regime switching framework
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
- A stochastic multi-agent optimization model for energy infrastructure planning under uncertainty in an oligopolistic market
- Modeling financial reinsurance in the casualty insurance business via stochastic programming
This page was built for publication: Stochastic Network Programming for Financial Planning Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4032487)
