29 search results - page 1 / 6 » A dynamic stochastic programming model for international por... |
EOR
2008
13 years 4 months ago
2008
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 in terms...
ICCS
2004
Springer
13 years 10 months ago
2004
Springer
In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible express...
ANOR
2007
13 years 4 months ago
2007
This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension insurance company. In many respects the model resembles t...
AUTOMATICA
2006
13 years 4 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
ANOR
2006
13 years 4 months ago
2006
To solve a decision problem under uncertainty via stochastic programming means to choose or to build a suitable stochastic programming model taking into account the nature of the r...