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Solving ALM problems via sequential stochastic programming
Herzog, Florian; Dondi, Gabriel; Keel, Simon; Schumann, … - In: Quantitative fund management, (pp. 197-221). 2009
Persistent link: https://www.econbiz.de/10003796953
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Stochastic model predictive control and portfolio optimization
Herzog, Florian; Dondi, Gabriel; Geering, Hans P. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 203-233
Persistent link: https://www.econbiz.de/10003441946
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Dynamic asset and liability management for Swiss pension funds
Dondi, Gabriel; Herzog, Florian; schumann, Lorenz M.; … - 2007
Persistent link: https://www.econbiz.de/10003523309
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Optimal portfolio construction under partial information for a balanced fund
Keel, Simon; Herzog, Florian; Geering, Hans Peter; … - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 1015-1042
Persistent link: https://www.econbiz.de/10003630993
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Models and dynamic optimisation for the asset and liability management of pension funds
Dondi, Gabriel - 2005
Persistent link: https://www.econbiz.de/10003316206
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Strategic portfolio management for long-term investments : an optimal control approach
Herzog, Florian - 2005
Persistent link: https://www.econbiz.de/10004872438
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Strategic portfolio management for long-term investments : an optimal control approach
Herzog, Florian - 2005
Persistent link: https://www.econbiz.de/10003278290