Fitting random cash management models to data

DOI10.1016/J.COR.2018.04.007zbMath1458.91233OpenAlexW2797305858WikidataQ129997535 ScholiaQ129997535MaRDI QIDQ1734858

Francisco Salas-Molina

Publication date: 27 March 2019

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2018.04.007

zbMATH Keywords

stochastic programmingmachine learningensemblesdata-driven modelscontrol bounds

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stochastic programming (90C15) Financial applications of other theories (91G80)

Related Items (1)

The generalized cash balance problem: optimization‐based one step ahead optimal control

Uses Software

• Gurobi

Cites Work

• Unnamed Item
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• Optimal impulse control for a multidimensional cash management system with generalized cost functions
• Introduction to Stochastic Programming
• High-Performance Computing for Asset-Liability Management
• Nonlinear Model Predictive Control: An Introductory Review
• Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs
• Random forests

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