On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty
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Publication:839843
DOI10.1007/s10287-006-0035-7zbMath1170.90452OpenAlexW2061871211MaRDI QIDQ839843
María Merino, Gloria Pérez, María Araceli Garín, Laureano Fernando Escudero Bueno
Publication date: 3 September 2009
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-006-0035-7
stochastic integer programmingbranch-and-fix coordinationassets and liabilitiesmean-risk functionmultistage scenario tree
Large-scale problems in mathematical programming (90C06) Mixed integer programming (90C11) Stochastic programming (90C15)
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Uses Software
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