Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
Practical portfolio investment problems under uncertainty can be modeled well as multiperiod stochastic programs. However, the numerical optimization methods that need to be used to solve such models seriously limit the level of detail in the uncertainty about future asset prices and returns that ca...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 44(1998), 1, Seite 31-48 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1998
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Stochastic Programming Asset/Liability Management Asset Pricing Theory Aggregation Methods Philosophy Economics Business Mathematics |
| Online verfügbar |
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