A stochastic programming model for money management
Explore this paper's citation graph
- Type
- article
- Published
- 1995-09-07
- Cited by
- 117
- References
- 20
- OpenAlex
- https://openalex.org/W1968027919
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:153424275
Keywords
Portfolio, Portfolio optimization, Time horizon, Cash flow, Computer science
References
- Modelling reality and personal modelling: Richard Flavell, (ed.), 1993, Contributions to Management Science, (Physica-Verlag, Heidelberg), 407 pp., paperback, DM120, ISBN 3-7908-0682-X
- A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options
- Theory of Financial Decision Making
- Mean-Variance Analysis in Portfolio Choice and Capital Markets
- The Asset-Liability Management Strategy System at Fannie Mae
- Financial Simulations On a Massively Parallel Connection Machine
- Mortgage Valuation Models at Prudential Securities
- Complete prepayment models for mortgage-backed securities
- Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
- Optimal multiperiod portfolio policies
- Stochastic network programming for financial planning problems
- Stochastic dedication: designing fixed income portfolios using massively parallel Benders decomposition
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming
- A Dynamic Model for Bond Portfolio Management
- A Bank Asset and Liability Management Model
- Interest rate risk, immunization, and duration
- Pitfalls in the Analysis of Option-Adjusted Spreads
- Returns on Levered, Actively Managed Long-Run Portfolios of Stocks, Bonds, and Bills, 1934–1983
- Computing Price Paths of Mprtgage-Backed Securities Using Massively Parallel Computing
Cited by
- A Stochastic Programming Model for Currency Option Hedging
- Financial crisis management : application to SMEs in Australia
- Mathematical methods for portfolio management
- Scalable parallel computations forlarge-scale stochastic programming
- Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study
- A moment-matching method to generate arbitrage-free scenarios
- Quantitative Fund Management
- MODELING SUSTAINABILITY IN RENEWABLE ENERGY SUPPLY CHAIN SYSTEMS
- Application of stochastic programming to management of cash flows with FX exposure
- Applications of optimization to sovereign debt issuance
- Developing a Seasonal Cash Demand Simulation for Agricultural Cooperatives (Village Unit Cooperative) in Indonesia
- A risk function for the stochastic modeling of electric capacity expansion
- Application of PSO for Optimization of Power Systems under Uncertainty
- Financial Asset Pricing Theory
- Applying stochastic programming models in financial risk management
- Inexact Multistage Fuzzy-Stochastic Programming Model for Water Resources Management
- The Application of Operations Research Techniques to Financial Markets
- On Bond Portfolio Management
- Dynamic Network Model of Managing Investment Portfolio under Random Stepwise Changes in Volatilities of Financial Assets
- A model for designing callable bonds and its solution using tabu search
Related papers
- Portfolio Optimization: A Primer
- Stock Portfolio Optimization on JII Index using Multi-Objective Mean-Absolute Deviation-Entropy
- Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
- Optimal model of hedging based on new and old portfolio of the maximum return probability
- A stochastic look-ahead approach for hurricane relief logistics operations planning under uncertainty
- Bi-level Optimization for Portfolio Modelling
- Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange
- Parameter Estimation Techniques, Optimization Frequency, and Portfolio Return Enhancement