The Power-Series Algorithm Applied to the Shortest-Queue Model

DOI10.1287/OPRE.40.1.157MaRDI QIDQ3990574zbMATH OpenOpenAlexFDO

Authors Paul Zipkin

Publication date 28 June 1992

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.40.1.157

zbMATH Keywords

bond portfoliosfinance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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Cited in

(7)

• Discretized reality and spurious profits in stochastic programming models for asset/liability management
• Stochastic models for broker inventory in dealership markets with a cash management interpretation.
• Stationary analysis of the shortest queue problem
• Risk analysis for a stochastic cash manangement model with two type of customers
• Bond portfolio optimization
• Sensitivity analysis of bond portfolio management model
• Asymptotic behavior of a system of two coupled queues when the content of one queue is very high

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