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Dynamic stochastic programming for asset-liability management.

Giorgio ConsigliM. A. H. Dempster
Published in: Ann. Oper. Res. (1998)
Keyphrases
  • asset liability management
  • stochastic programming
  • multistage
  • linear program
  • chance constrained
  • robust optimization
  • risk averse
  • objective function
  • special case
  • linear programming