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Harrison, Richard - 2017

I study optimal monetary policy in a simple New Keynesian model with portfolio adjustment costs. Purchases of long-term debt by the central bank (quantitative easing; ‘QE') alter the average portfolio return and hence influence aggregate demand and inflation. The central bank chooses the...

Persistent link: https://www.econbiz.de/10012946995

Optimal quantitative easing

Harrison, Richard - 2017

Persistent link: https://www.econbiz.de/10011741247

Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

CLO replenishment regarded as linear optimisation problem

Becker, Claas - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 53-62

Persistent link: https://www.econbiz.de/10011997097

Pareto-optimality for lethality and collateral risk in the airstrike multi-objective problem

Dillenburger, Steven P.; Jordan, Jeremy D.; Cochran, … - In: Journal of the Operational Research Society 70 (2019) 7, pp. 1051-1064

Persistent link: https://www.econbiz.de/10012213586

A mixed-integer linear programming approach for collateral management

Goblet, Jordan; Willame, Fabien; Grauls, Jan - In: Decision analytics journal 10 (2024), pp. 1-8

Collateral management involves the efficient monitoring and allocation of assets to mitigate credit risk in financial … collateral management, namely to collateralize as much as possible a set of transactions given a limited asset portfolio. In …-world problems often preclude direct resolution through conventional MILP solvers. In addition, each collateral adjustment movement …

Persistent link: https://www.econbiz.de/10014543548

An Optimal Solution to a Resource Allocation Problem under COVID-19 Financial Constraints

Kamdem, Bruno - 2021

Public health implications of COVID-19 resulted in widespread business closures and job losses. Disruptions in the service and transportation sectors, acute reductions in income, and an uptick in unemployment were the outcome of pandemic mitigating procedures adopted by many governments. While...

Persistent link: https://www.econbiz.de/10013214164

Optimal bank management under capital and liquidity constraints

Astic, Fabian; Tourin, Agnès - In: Journal of financial engineering 1 (2014) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10010508026

Evaluating linear approximations in a twocountry model with occasionally binding borrowing constraints

Anagnostopoulos, Alexis; Tang, Xin - In: The B.E. journal of macroeconomics 15 (2015) 1, pp. 43-91

Persistent link: https://www.econbiz.de/10010481810

Robust utility maximization, f-projections, and risk constraints

Gundel, Anne (contributor) - 2006

Ein wichtiges Gebiet der Finanzmathematik ist die Bestimmung von Auszahlungsprofilen, die den erwarteten Nutzen eines Agenten unter einer Budgetrestriktion maximieren. Wir charakterisieren optimale Auszahlungsprofile für einen Agenten, der unsicher ist in Bezug auf das genaue Marktmodell. Der...

Persistent link: https://www.econbiz.de/10003372029