The performance of stochastic dynamic and fixed mix portfolio models

European Journal of Operational Research

Volumn 140, Issue 1, 2002, Pages 37-49

  Fleten, Stein Erik ^a   Høyland, Kjetil ^a   Wallace, Stein W ^a  

^a NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Asset liability management; Nonlinear programming; Performance measurement; Portfolio selection; Simulation; Stochastic programming

Indexed keywords

COMPUTER SIMULATION; DECISION MAKING; INFORMATION ANALYSIS; MATHEMATICAL MODELS; NONLINEAR PROGRAMMING; PROBABILITY DISTRIBUTIONS; TREES (MATHEMATICS);

PORTFOLIO MANAGEMENT;

STOCHASTIC PROGRAMMING;

EID: 18344382901     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(01)00195-3     Document Type: Article

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