Scenario generation and stochastic programming models for asset liability management

European Journal of Operational Research

Volumn 134, Issue 2, 2001, Pages 279-292

  Kouwenberg, Roy ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Asset liability management; Finance; Scenarios; Stochastic programming

Indexed keywords

BENCHMARKING; COMPUTER SIMULATION; FINANCE; INVESTMENTS; MATHEMATICAL MODELS; STOCHASTIC PROGRAMMING;

ASSET LIABILITY MANAGEMENT MODELS; MULTI-STAGE STOCHASTIC PROGRAMMING MODELS;

OPERATIONS RESEARCH;

EID: 0035900037     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(00)00261-7     Document Type: Article

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