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Stochastic Multistage Programming in Financial Decision Making

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abstract Multistage stochastic programming is applied to optimal funding and to multistage mean-variance analysis. Optimal funding is part of the fixed income management where the various types of interest rate risk have to be controlled, primarily. Mean-variance is used within asset allocation for controlling the equity risk, fond manager are exposed to, mainly. Both problems suffer from the curse of dimensionality due to the dynamic decision making. It is discussed, how the funding model and the multistage mean-variance model benefit from the convexity of their value functions with respect to numerical solvability.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1996
journal Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM)
publisher Akademie Verlag (Berlin, DE)
ISSN 0044-2267
volume of journal 76
page(s) 21-24
review not reviewed
   
citation Frauendorfer, K. (1996). Stochastic Multistage Programming in Financial Decision Making. Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM), 76, 21-24.