A stochastic programming approach to cash management in banking

DOI10.1016/j.ejor.2007.10.015zbMath1157.90491OpenAlexW1985999671MaRDI QIDQ1011242

Jordi Castro

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.10.015

zbMATH Keywords

stochastic programmingOR in bankinginteger stochastic programming

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15)

Related Items

Evolutionary algorithms with preference polyhedron for interval multi-objective optimization problems, Fitting random cash management models to data, Cash management using multi-stage stochastic programming

Uses Software

• bootstrap

Cites Work

• A stochastic programming model for money management
• Stochastic integer programming: general models and algorithms
• Multi-stage stochastic linear programs for portfolio optimization
• High-Performance Computing for Asset-Liability Management
• Short Term Financial Planning under Uncertainty
• Introduction to Stochastic Programming
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