The Stochastic Programming Approach to Asset, Liability, and Wealth Management

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Accessed 05 Jan Brazilian Central Bank Resolution number Consiglio A, Staino A A stochastic programming model for the optimal issuance of government bonds. J Bank Financ 30 2 — CrossRef.

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Br Actuar J — CrossRef. Duffie D Dynamic asset pricing theory. Ferstl R, Weissensteiner A Asset-liability management under time-varying investment opportunities. J Bank Financ 35 1 —62 CrossRef. Figueiredo D Investiment decision making for defined benefit Pension Funds: an multistage stochastic linear programing approach in Portuguese. Fletcher J, Hillier J An examination of resampled portfolio efficiency. Financ Anal J 57 5 —74 CrossRef.

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What are the best online resources for stock market investment analysis? In depth view into SKM SK Telecom stock including the latest price, news, dividend history, earnings information and financials. Find the best predicted price for this diamond. This is because the program would most likely be implemented in a rolling horizon fashion, i. Model update control cycle — testing recent experience against the model we can determine if it needs to be updated automobile insurance claims.

Frahm G A theoretical foundation of portfolio resampling. J Bank Financ 37 6 — CrossRef. In: Fu M ed Handbook of simulation optimization, International series in operations research and management science.

europeschool.com.ua/profiles/girofiguf/anonymous-sitio-de-citas.php Springer, Berlin. Rev Financ Stud — CrossRef. Klaassen P Comment on generating scenario trees for multistage decision problems.

What is ASSET-LIABILITY MISMATCH? What does ASSET-LIABILITY MISMATCH mean?

Kouwenberg R Scenario generation and stochastic programming models for asset liability management. Markowitz H Portfolio selection.

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J Financ — Markowitz H, Usmen N Resampled frontiers versus diffuse bayes: an experiment. J Invest Manag 1 4 :9— Merton RC Optimum consumption and portfolio rules in a continuous-time model. Merton RC Continuous-time finance. Michaud R Efficient asset management: a practical guide to stock portfolio optimization and asset allocation, 1st edn. Harvard Business School Press, Boston.

Michaud R, Michaud R Efficient asset management: a practical guide to stock portfolio optimization and asset allocation, 2nd edn. Oxford University Press, Oxford.

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Milevsky MA Optimal asset allocation towards the end of the life cycle: to annuitize or not to annuitize? J Risk Insur 65 3 — CrossRef. Ministry of Social Welfare Cgpc resolution number Mitra G, Schwaiger K eds Asset and liability management handbook, 1st edn.

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Palgrave Macmillan, Basingstoke. Neftci SN An introduction to the mathematics of financial derivatives, 1st edn.

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Nielsen SS, Poulsen R A two-factor, stochastic programming model of danish mortgage backed securities. Rasmussen KM, Clausen J Mortgage loan portfolio optimization using multi-stage stochastic programming. J Risk —41 CrossRef.

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Scherer B Portfolio resampling: review and critique. Financ Anal J 58 6 — CrossRef. Siegmann A, Lucas A Discrete-time financial planning models under loss-averse preferences. ManMohan S. Sodhi, More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors.

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Introduction to Stochastic Programming and Its Applications to Finance