Robust optimization of large-scale systems
Mathematical programming models with noisy, erroneous, or incomplete data are common
in operations research applications. Difficulties with such data are typically dealt with …
in operations research applications. Difficulties with such data are typically dealt with …
Stochastic network programming for financial planning problems
JM Mulvey, H Vladimirou - Management science, 1992 - pubsonline.informs.org
Several financial planning problems are posed as dynamic generalized network models
with stochastic parameters. Examples include: asset allocation for portfolio selection …
with stochastic parameters. Examples include: asset allocation for portfolio selection …
Dynamic models for fixed-income portfolio management under uncertainty
SA Zenios, MR Holmer, R McKendall… - Journal of Economic …, 1998 - Elsevier
We develop multi-period dynamic models for fixed-income portfolio management under
uncertainty, using multi-stage stochastic programming with recourse. The models integrate …
uncertainty, using multi-stage stochastic programming with recourse. The models integrate …
Stochastic dedication: Designing fixed income portfolios using massively parallel Benders decomposition
RS Hiller, J Eckstein - Management Science, 1993 - pubsonline.informs.org
Drawing on recent developments in discrete time fixed income options theory, we propose a
stochastic programming procedure, which we call stochastic dedication, for managing …
stochastic programming procedure, which we call stochastic dedication, for managing …
LP modeling for asset-liability management: A survey of choices and simplifications
MMS Sodhi - Operations Research, 2005 - pubsonline.informs.org
Dynamic linear programming (LP) models for asset-liability management (ALM) are quite
powerful and flexible but face two challenges:(1) many modeling choices, not all consistent …
powerful and flexible but face two challenges:(1) many modeling choices, not all consistent …
A stochastic programming model for funding single premium deferred annuities
SS Nielsen, SA Zenios - Mathematical Programming, 1996 - Springer
Abstract Single Premium Deferred Annuities (SPDAs) are investment vehicles, offered to
investors by insurance companies as a means of providing income past their retirement age …
investors by insurance companies as a means of providing income past their retirement age …
Asset liability management for pension funds using multistage mixed-integer stochastic programming
SJ Drijver - 2005 - research.rug.nl
Pensioenfondsen moeten strategische beslissingen nemen ten aanzien van de hoogte van
de premie en de investeringen van de bezittingen. Sibrand Drijver formuleerde een …
de premie en de investeringen van de bezittingen. Sibrand Drijver formuleerde een …
A model for portfolio management with mortgage-backed securities
SA Zenios - Annals of Operations Research, 1993 - Springer
We present a stochastic programming model for the management of large portfolios of
mortgage-backed securities (abbreviated: MBS). It is a two-stage, multiperiod model …
mortgage-backed securities (abbreviated: MBS). It is a two-stage, multiperiod model …
Tracking bond indices in an integrated market and credit risk environment
NJ Jobst, SA Zenios - Quantitative Finance, 2003 - iopscience.iop.org
The management of credit risky assets requires simulation models that integrate the
disparate sources of credit and market risk, and suitable optimization models for scenario …
disparate sources of credit and market risk, and suitable optimization models for scenario …
[BOOK][B] Industrialisierung von Banken: Grundlagen, Ausprägungen, Wirkungen
C Riese - 2006 - books.google.com
Cornelius Riese identifiziert und analysiert entlang der Wertschöpfungskette wesentliche
Industrialisierungstendenzen von Banken und präsentiert ein Modell, das das Verhalten …
Industrialisierungstendenzen von Banken und präsentiert ein Modell, das das Verhalten …