Discretized reality and spurious profits in stochastic programming models for asset/liability management

European Journal of Operational Research

Volumn 101, Issue 2, 1997, Pages 374-392

  Klaassen, Pieter ^a,b  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b RABOBANK   (Netherlands)

Author keywords

Arbitrage; Asset liability management; Stochastic programming

Indexed keywords

ECONOMICS; MANAGEMENT; MARKETING; OPERATIONS RESEARCH; RANDOM PROCESSES; STATISTICAL METHODS;

ARBITRAGE; PORTFOLIO INVESTMENT PROBLEMS;

MATHEMATICAL PROGRAMMING;

EID: 0031223741     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(96)00404-3     Document Type: Article

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