Discrete-time financial planning models under loss-averse preferences

Operations Research

Volumn 53, Issue 3, 2005, Pages 403-414

  Siegmann, Arjen ^a,b   Lucas, André ^a,c  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b Research Department   (Netherlands)

^c TINBERGEN INSTITUTE   (Netherlands)

Author keywords

Asset liability management; Downside risk; Multistage stochastic programming; Time diversification

Indexed keywords

ASSET/LIABILITY MANAGEMENT; DOWNSIDE RISKS; MULTISTAGE STOCHASTIC PROGRAMMING; TIME DIVERSIFICATION;

DECISION MAKING; DISCRETE TIME CONTROL SYSTEMS; FINANCE; INVENTORY CONTROL; MATHEMATICAL MODELS; OCCUPATIONAL RISKS; PROBLEM SOLVING; STOCHASTIC PROGRAMMING;

STRATEGIC PLANNING;

EID: 25144446302     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1040.0182     Document Type: Review

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