Discrete analysis of portfolio selection with optimal stopping time.
Liang, Jianfeng (2009)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “A stochastic programming approach to managing liquid asset portfolios”
Discrete analysis of portfolio selection with optimal stopping time.
On modelling planning under uncertainty in manufacturing.
A. Alonso-Ayuso, L. F. Escudero, M.T. Ortuño (2007)
SORT
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We present a modelling framework for two-stage and multi-stage mixed 0-1 problems under uncertainty for strategic Supply Chain Management, tactical production planning and operations assignment and scheduling. A scenario tree based scheme is used to represent the uncertainty. We present the Deterministic Equivalent Model of the stochastic mixed 0-1 programs with complete recourse that we study. The constraints are modelled by compact and splitting variable representations via scenarios. ...
Dynamic Stochastic Accumulation Model With Application to Pension Savings Management
Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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A multiobjective stochastic production-distribution planning problem in an uncertain environment considering risk and workers productivity.
Al-E-Hashem, S.M.J.Mirzapour, Baboli, A., Sadjadi, S.J., Aryanezhad, M.B. (2011)
Mathematical Problems in Engineering
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Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms
Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord.
Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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Liquidity Management and Futures Hedging Under Deposit Insurance: an Option-Based Analysis
Jyh-Horng Lin, Chuen-Ping Chang (2004)
The Yugoslav Journal of Operations Research
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Maximizing banking profit on a random time interval.
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
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Subprime risk and insurance with regret.
Petersen, M.A., Mukuddem-Petersen, J., Mulaudzi, M.P., De Waal, B., Schoeman, I.M. (2010)
Discrete Dynamics in Nature and Society
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Optimal pricing and production master planning in a multiperiod horizon considering capacity and inventory constraints.
Smith, Neale R., Robles, Jorge Limón, Cárdenas-Barrón, Leopoldo Eduardo (2009)
Mathematical Problems in Engineering
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Multistage risk premiums in portfolio optimization
Miloš Kopa, Barbora Petrová (2017)
Kybernetika
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This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller...
A decision support system for regional hazardous waste management alternatives.
Amouzegar, Mahyar A., Jacobsen, Stephen E. (1998)
Journal of Applied Mathematics and Decision Sciences
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An asset – liability management stochastic program of a leasing company
Tomáš Rusý, Miloš Kopa (2018)
Kybernetika
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We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which...