Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach.
Xun LiXianping WuHaixiang YaoPublished in: J. Oper. Res. Soc. (2020)
Keyphrases
- 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