Solving ALM problems via sequential stochastic programming
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Publication:3593605
DOI10.1080/14697680701272575zbMath1278.91139OpenAlexW2095287530MaRDI QIDQ3593605
Simon Keel, Hans P. Geering, Florian Herzog, Gabriel Dondi, Lorenz M. Schumani
Publication date: 23 July 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701272575
stochastic programmingdynamic programmingmulti-period portfolio optimizationasset and liability management
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Uses Software
Cites Work
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