Stochastic quasi-gradient techniques in VaR-based ALM models

zbMATH Open0973.91033MaRDI QIDQ2740085

Alexander Mertens

Publication date: 16 September 2001

Published in: Theory of Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

asset-liability managementportfolio optimizationvalue-at-riskstochastic quasi-gradient method

Mathematics Subject Classification ID

Related Items (1)

ALM models based on second order stochastic dominance

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