Solving ALM problems via sequential stochastic programming
Year of publication: |
2007
|
---|---|
Authors: | Herzog, Florian ; Dondi, Gabriel ; Keel, Simon ; Schumani, Lorenz M. ; Geering, Hans P. |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 7.2007, 2, p. 231-244
|
Publisher: |
Taylor & Francis Journals |
Subject: | Asset and liability management | Stochastic programming | Dynamic programming | Multi-period portfolio optimization |
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