From data to model and back to data: A bond portfolio management problem

DOI10.1016/S0377-2217(00)00260-5zbMath1017.91041MaRDI QIDQ5945849

Marida Bertocchi, Jitka Dupačová

Publication date: 29 January 2002

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

zbMATH Keywords

stabilitystochastic programmingsensitivity analysisfinancepost-optimality analysisscenarios

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

Transparent structured products for retail investors ⋮ Cash management using multi-stage stochastic programming ⋮ Horizon and stages in applications of stochastic programming in finance

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