Dynamic stochastic programming for asset-liability management

DOI10.1023/A:1018992620909zbMath0908.90008OpenAlexW2022107089MaRDI QIDQ1265878

Giorgio Consigli, Michael A. H. Dempster

Publication date: 18 March 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018992620909

zbMATH Keywords

linear programmingquadratic programminginterior point methodsimplex methodmultistage stochastic programmingportfolio optimizationpension fundnested Benders decompositionCALMcomputer-aided asset/liability managementdynamic stochastic programming

Mathematics Subject Classification ID

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Uses Software

• MSLiP
• CPLEX

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