On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty

Computational Management Science

Volumn 6, Issue 3, 2009, Pages 307-327

  Escudero, Laureano F ^a   Garín, Araceli ^b   Merino, María ^b   Pérez, Gloria ^b  

^a MIGUEL HERNÁNDEZ UNIVERSITY   (Spain)

^b UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

Author keywords

Assets and liabilities; Branch and Fix Coordination; Mean risk function; Multistage scenario tree; Stochastic Integer Programming

Indexed keywords

EID: 67650135407     PISSN: 1619697X     EISSN: 16196988     Source Type: Journal    
DOI: 10.1007/s10287-006-0035-7     Document Type: Article

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