Scenario generation and stochastic programming models for asset liability management
From MaRDI portal
Publication:5945850
DOI10.1016/S0377-2217(00)00261-7zbMath1008.91050MaRDI QIDQ5945850
Publication date: 22 April 2003
Published in: European Journal of Operational Research (Search for Journal in Brave)
Related Items
ALM models based on second order stochastic dominance ⋮ Tax impact on multi-stage mean-variance portfolio allocation ⋮ Post-tax optimization with stochastic programming ⋮ Robust production and transportation planning in thin film transistor-liquid crystal display (TFT-LCD) industry under demand and price uncertainties ⋮ An arc-exchange decomposition method for multistage dynamic networks with random arc capacities ⋮ Asset liability management for the parliamentary pension scheme of Uganda by stochastic programming ⋮ A robust asset-liability management framework for investment products with guarantees ⋮ The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems ⋮ Scenario construction and reduction applied to stochastic power generation expansion planning ⋮ Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS ⋮ Unnamed Item ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Unnamed Item ⋮ Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ Constructing branching trees of geostatistical simulations ⋮ Comparing stage-scenario with nodal formulation for multistage stochastic problems ⋮ Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach ⋮ Performance Enhancements for Defined Benefit Pension Plans ⋮ Dynamic Portfolio Management for Property and Casualty Insurance ⋮ Scenario Tree Generation for Multi-stage Stochastic Programs ⋮ Generating interest rate scenarios for bank asset liability management ⋮ Robust portfolio selection based on a multi-stage scenario tree ⋮ A mixed integer programming model for multistage mean-variance post-tax optimization ⋮ A mixed R{\&}D projects and securities portfolio selection model ⋮ De-risking defined benefit plans ⋮ A general framework for multistage mean-variance post-tax optimization ⋮ Retirement saving with contribution payments and labor income as a benchmark for investments ⋮ Scenario modelling for selective hedging strategies ⋮ Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ Simulation and optimization approaches to scenario tree generation ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Liquidity, risk, and return: specifying an objective function for the management of foreign reserves ⋮ A stochastic programming model for asset liability management of a Finnish pension company ⋮ Financial scenario generation for stochastic multi-stage decision processes as facility location problems ⋮ Variance reduction in sample approximations of stochastic programs ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Operational asymptotic stochastic dominance ⋮ A stochastic multi-stage fixed charge transportation problem: worst-case analysis of the rolling horizon approach ⋮ Horizon and stages in applications of stochastic programming in finance ⋮ Quality evaluation of scenario-tree generation methods for solving stochastic programming problems ⋮ Unnamed Item ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ Dynamic asset allocation for varied financial markets under regime switching framework ⋮ A multistage linear stochastic programming model for optimal corporate debt management ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ Projections of pension fund solvency under alternative valuation regimes ⋮ Optimal multi-product supplier selection under stochastic demand with service level and budget constraints using learning vector quantization neural network ⋮ Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies ⋮ Dynamic hedging of basket options under proportional transaction costs using receding horizon control ⋮ Treasury management model with foreign exchange exposure ⋮ Applications of stochastic programming: Achievements and questions ⋮ The performance of stochastic dynamic and fixed mix portfolio models ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance ⋮ Optimal annuity portfolio under inflation risk ⋮ No-arbitrage bounds for financial scenarios
Uses Software
Cites Work
- Unnamed Item
- A stochastic programming model for money management
- HOPDM (version 2. 12) -- a fast LP solver based on a primal-dual interior point method
- Dynamic stochastic programming for asset-liability management
- A hybrid simulation/optimisation scenario model for asset/liability management
- Primal-relaxed dual global optimization approach
- Strategic asset allocation
- Asset/liability management under uncertainty for fixed-income securities
- Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
- Stochastic Network Programming for Financial Planning Problems