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Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts


   
type book chapter (English)
   
keywords Multistage Stochastic Programming, Asset & Liability Management, Barycentric Approximation, Non-Maturing Assets & Liabilities
   
project Management of Non-Maturing Deposits by Multistage Stochastic Programming
book title Probabilistic Constrained Optimization: Methodology and Applications
editor W.T. Ziemba, J.M. Mulvey
date of appearance 2001
publisher Kluwer Academic Publishers (Dordrecht, NL)
series title Nonconvex Optimization and Its Applications (49)
ISBN 0-7923-6644-1
page(s) 67-101
citation Frauendorfer, K., & Schürle, M. (2001). Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts. In Ziemba, W., & Mulvey, J. (Eds.), Probabilistic Constrained Optimization: Methodology and Applications (pp. 67-101). Dordrecht, NL: Kluwer Academic Publishers. - ISBN 0-7923-6644-1.