Optimal asset-liability management with constraints: A dynamic programming approach.

Marco Papi Simone Sbaraglia

Published in: Appl. Math. Comput. (2006)

Keyphrases

dynamic programming
asset liability management
optimal control
optimal solution
linear program
state space
linear programming
multistage
greedy algorithm
stochastic programming
learning algorithm
non stationary
optimal policy
markov decision processes
lagrangian relaxation