Scenario optimization asset and liability modelling for individual investors

DOI10.1007/s10479-006-0133-5zbMath1132.91460OpenAlexW2045096981MaRDI QIDQ2480245

Andrea Consiglio, Flavio Cocco, Stavros A. Zenios

Publication date: 31 March 2008

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

Full work available at URL: http://hdl.handle.net/10447/23441

zbMATH Keywords

portfolio allocationscenario optimizationpersonal planning

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Uses Software

• GAMS

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