Dynamic stochastic programming for asset-liability management
type: Item
instance of: scholarly article
title: Dynamic stochastic programming for asset-liability management
zbMATH Open document ID: 0908.90008
DOI: 10.1023/A:1018992620909
published in: Annals of Operations Research
publication date: 1999-03-18T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 1202738
zbMATH Keywords: dynamic stochastic programming
zbMATH Keywords: linear programming
zbMATH Keywords: quadratic programming
zbMATH Keywords: simplex method
zbMATH Keywords: interior point method
zbMATH Keywords: nested Benders decomposition
zbMATH Keywords: multistage stochastic programming
zbMATH Keywords: computer-aided asset/liability management
zbMATH Keywords: portfolio optimization
zbMATH Keywords: CALM
zbMATH Keywords: pension fund
author: Giorgio Consigli
author: M. A. H. Dempster
describes a project that uses: CPLEX
describes a project that uses: MSLiP
MaRDI profile type: Publication
full work available at URL: a:1018992620909
OpenAlex ID: W2022107089
description: scientific article; zbMATH DE number 1202738