A multi-objective multi-period stochastic programming model for public debt management

DOI10.1016/j.ejor.2009.12.001zbMath1187.90247OpenAlexW2063461080MaRDI QIDQ2270312

Emre Balibek, Murat M. Köksalan

Publication date: 18 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.12.001

zbMATH Keywords

risk analysisOR in government

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15)

Related Items (10)

Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas ⋮ Multiple criteria decision aiding for finance: an updated bibliographic survey ⋮ An interactive approach to stochastic programming-based portfolio optimization ⋮ A stochastic programming approach to multicriteria portfolio optimization ⋮ Debt redemption fund and fiscal incentives ⋮ A class of multi-objective equilibrium chance maximization model with twofold random phenomenon and its application to hydropower station operation ⋮ A multi-stage stochastic programming approach in master production scheduling ⋮ Robust multicriteria risk-averse stochastic programming models ⋮ A multistage linear stochastic programming model for optimal corporate debt management ⋮ Risk Management for Sustainable Sovereign Debt Financing

Uses Software

• RiskMetrics

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• A two-factor, stochastic programming model of Danish mortgage-backed securities
• A visual interactive method for solving the multiple criteria problem
• Dynamic models for fixed-income portfolio management under uncertainty
• A hybrid simulation/optimisation scenario model for asset/liability management
• Stochastic modeling in economics and finance.
• Multiple criteria decision making combined with finance: a categorized bibliographic study.
• A dynamic stochastic programming model for international portfolio management
• Conditional value at risk and related linear programming models for portfolio optimization
• Treasury management model with foreign exchange exposure
• Coherent Measures of Risk
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A multi-objective multi-period stochastic programming model for public debt management