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Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach.
Xun Li
Xianping Wu
Haixiang Yao
Published in:
J. Oper. Res. Soc. (2020)
Keyphrases
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asset liability management
multi period
stochastic programming
linear program
production planning
facility location problem
probability distribution
mixed integer
routing problem
data envelopment analysis
planning horizon
linear programming
lot sizing
approximation algorithms
multi item
constraint programming
integer programming
bayesian networks
integer program
optimal policy