Scenarios for multistage stochastic programs
J Dupačová, G Consigli, SW Wallace - Annals of operations research, 2000 - Springer
A major issue in any application of multistage stochastic programming is the representation
of the underlying random data process. We discuss the case when enough data paths can …
of the underlying random data process. We discuss the case when enough data paths can …
Stochastic programming models for asset liability management
R Kouwenberg, SA Zenios - Handbook of asset and liability management, 2008 - Elsevier
Publisher Summary This chapter reviews stochastic programming models for asset and
liability management (ALM). It introduces the basics of stochastic programming and …
liability management (ALM). It introduces the basics of stochastic programming and …
A dynamic stochastic programming model for international portfolio management
We develop a multi-stage stochastic programming model for international portfolio
management in a dynamic setting. We model uncertainty in asset prices and exchange rates …
management in a dynamic setting. We model uncertainty in asset prices and exchange rates …
Fast gradient descent method for mean-CVaR optimization
Fast gradient descent method for Mean-CVaR optimization | SpringerLink Skip to main content
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Advertisement SpringerLink Log in Menu Find a journal Publish with us Search Cart 1.Home …
Integrated simulation and optimization models for tracking international fixed income indices
A Consiglio, SA Zenios - Mathematical Programming, 2001 - Springer
Portfolio managers in the international fixed income markets must address jointly the interest
rate risk in each market and the exchange rate volatility across markets. This paper develops …
rate risk in each market and the exchange rate volatility across markets. This paper develops …
[BOOK][B] A heuristic Approach to portfolio optimization
M Gilli, E Këllezi - 2000 - fmwww.bc.edu
Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-
variance etc., lead to optimal asset allocations which differ from the mean-variance optimum …
variance etc., lead to optimal asset allocations which differ from the mean-variance optimum …
Value-at-risk based portfolio optimization
A v Puelz - Stochastic optimization: Algorithms and applications, 2001 - Springer
Abstract The Value at Risk (VaR) metric, a widely reported and accepted measure of
financial risk across industry segments and market participants, is discrete by nature …
financial risk across industry segments and market participants, is discrete by nature …
Optimal multiperiod asset allocation: matching assets to liabilities in a discrete model
HC Huang - Journal of Risk and Insurance, 2010 - Wiley Online Library
Investment and risk control are becoming increasingly important for financial institutions.
Asset allocation provides a fundamental investing principle to manage the risk and return …
Asset allocation provides a fundamental investing principle to manage the risk and return …
[HTML][HTML] Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
A belief rule-based (BRB) system is a generic nonlinear modelling and inference scheme. It
is based on the concept of belief structures and evidential reasoning (ER), and has been …
is based on the concept of belief structures and evidential reasoning (ER), and has been …
Scenario modeling for the management ofinternational bond portfolios
A Beltratti, A Consiglio, SA Zenios - Annals of Operations Research, 1999 - Springer
We address the problem of portfolio management in the international bond markets. Interest
rate risk in the local market, exchange rate volatility across markets, and decisionsfor …
rate risk in the local market, exchange rate volatility across markets, and decisionsfor …