Discretized reality and spurious profits in stochastic programming models for asset/liability management

DOI10.1016/S0377-2217(96)00404-3zbMath0929.91029OpenAlexW3124488797MaRDI QIDQ1278969

Pieter Klaassen

Publication date: 25 January 2000

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

Full work available at URL: https://doi.org/10.1016/s0377-2217(96)00404-3

zbMATH Keywords

arbitrageasset/liability managementportfolio investment problems

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) One- and multidimensional scaling in the social and behavioral sciences (91C15)

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Cites Work

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• Multi-stage stochastic linear programs for portfolio optimization
• The Power-Series Algorithm Applied to the Shortest-Queue Model
• Stochastic Network Programming for Financial Planning Problems
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition

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