Solving ALM problems via sequential stochastic programming

Quantitative Finance

Volumn 7, Issue 2, 2007, Pages 231-244

  Herzog, Florian ^a,b   Dondi, Gabriel ^a,b   Keel, Simon ^a,b   Schumani, Lorenz M ^b   Geering, Hans P ^a  

^a ETH ZURICH   (Switzerland)

^b SwissQuant Group AG   (Switzerland)

Author keywords

Asset and liability management; Dynamic programming; Multi period portfolio optimization; Stochastic programming

Indexed keywords

EID: 34248588066     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701272575     Document Type: Article

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