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An ALM model for pension funds using integrated chance constraints
44
Citations
15
References
2009
Year
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev
The Journal of Risk
Mathematical ProgrammingRisk MetricConstrained OptimizationPortfolio ManagementConditional Value-at-risk +18
2000
6.3K
Conditional value-at-risk for general loss distributions
Journal of Banking & Finance
EngineeringValue-at-riskFinancial Risk ManagementRisk ManagementRisk Metric +6
2002
3.6K
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
Suleyman Basak, Alexander Shapiro
Review of Financial Studies
Var Risk ManagersEconomicsAsset PricingFinancial Risk ManagementValue-at-risk +12
2001
864
Stochastic integer programming:General models and algorithms
Willem K. Klein Haneveld, Maarten H. van der Vlerk
Annals of Operations Research
1999
189
CVaR models with selective hedging for international asset allocation
Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios
EconomicsPortfolio OptimizationInternational FinanceAsset PricingSelective Hedging +5
118
Integrated Chance Constraints: Reduced Forms and an Algorithm
Computational Management Science
Mathematical ProgrammingEngineeringChance ConstraintsUncertainty QuantificationImprecise Probability +5
2006
113
Stochastic programming with simple integer recourse
François Louveaux, Maarten H. van der Vlerk
Mathematical Programming
Mathematical ProgrammingStochastic ProgrammingEngineeringInteger OptimizationStochastic Optimization +4
1993
80
Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach
Cees Dert
Data Archiving and Networked Services (DANS)
1995
68
SLP-IOR: An interactive model management system for stochastic linear programs
Peter Kall, János Mayer
Mathematical ProgrammingEngineeringProgram AnalysisProcess ControlModel Management +12
1996
49
Applications of Stochastic Programming (MPS-SIAM Series in Optimization)
Stein W. Wallace, William T. Ziemba
Lancaster EPrints (Lancaster University)
Mathematical ProgrammingEngineeringContinuous OptimizationStochastic OptimizationNonlinear Programming +3
2005
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