Search results for "Asset/liability"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
90	Kyriaki Kosmidou, Constantin Zopounidis	Generating interest rate scenarios for bank asset liability management.	Optim. Lett.	2008	DBLP DOI BibTeX RDF	Asset liability management, Interest rate, Duration-gap, Simulation, Goal programming
90	Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne	A stochastic programming model for asset liability management of a Finnish pension company.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Asset-liability management, Econometric modeling, Discretization, Stochastic optimization
51	Kyriaki Kosmidou, Constantin Zopounidis	An optimization scenario methodology for bank asset liability management.	Oper. Res.	2002	DBLP DOI BibTeX RDF	Asset and liability management, optimization, banking, goal programming
46	Mei Choi Chiu, Hoi Ying Wong	Mean-variance asset-liability management: Cointegrated assets and insurance liability.	Eur. J. Oper. Res.	2012	DBLP DOI BibTeX RDF
43	Gaetano Zanghirati, F. Cocco, F. Taddei, G. Paruolo	Cray T3E Performances of a Parallel Code for a Stochastic Dynamic Assets and Liabilities Management Model.	Euro-Par	1999	DBLP DOI BibTeX RDF
39	Stijn Claessens, Jerome Kreuser	Strategic foreign reserves risk management: Analytical framework.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Reserves management, Asset/liability, Dynamic stochastic optimization, ALM
30	Ronald Hochreiter, Georg Ch. Pflug	Financial scenario generation for stochastic multi-stage decision processes as facility location problems.	Ann. Oper. Res.	2007	DBLP DOI BibTeX RDF	Multi-stage financial scenario generation, Stochastic programming
29	Marcel Bluhm, Adrian Cachinero Vasiljevic, Sébastien Derivaux, Søren Terp Hørlück Jessen	Real-time Risk Metrics for Programmatic Stablecoin Crypto Asset-Liability Management (CALM).	CoRR	2024	DBLP DOI BibTeX RDF
29	Takura Asael Wekwete, Rodwell Kufakunesu, Gusti van Zyl	Application of deep reinforcement learning in asset liability management.	Intell. Syst. Appl.	2023	DBLP DOI BibTeX RDF
29	Yu Yuan, Hui Mi	Robust optimal asset-liability management with delay and ambiguity aversion in a jump-diffusion market.	Int. J. Control	2023	DBLP DOI BibTeX RDF
29	Thomas Krabichler, Josef Teichmann	A case study for unlocking the potential of deep learning in asset-liability-management.	Frontiers Artif. Intell.	2023	DBLP DOI BibTeX RDF
29	Xianping Wu, Weiping Wu, Yu Lin	The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management.	J. Syst. Sci. Complex.	2023	DBLP DOI BibTeX RDF
29	Zhizuo Chen	A Cash Flow Based Framework for Asset-Liability Management with Deep Reinforcement Learning.	ICDM (Workshops)	2023	DBLP DOI BibTeX RDF
29	Hamid Hosseini Nesaz, Milad Jasemi	Development of a new asset liability Management model with liquidity and inflation risks based on the Lower Partial Moment.	Expert Syst. Appl.	2022	DBLP DOI BibTeX RDF
29	Herbert Mukalazi, Torbjörn Larsson, Juma Kasozi, Fred Mayambala	Asset liability management for the Bank of Uganda defined benefits scheme by stochastic programming.	Oper. Res. Decis.	2022	DBLP DOI BibTeX RDF
29	A. Chunxiang, Yang Shen, Yan Zeng	Dynamic asset-liability management problem in a continuous-time model with delay.	Int. J. Control	2022	DBLP DOI BibTeX RDF
29	Milos Kopa, Tomás Rusý	A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision.	Ann. Oper. Res.	2021	DBLP DOI BibTeX RDF
29	Igor Ferreira do Nascimento, Pedro Henrique Melo Albuquerque, Yaohao Peng	Survey on-demand: a versatile scientific article automated inquiry method using text mining applied to asset liability management.	Int. J. Bus. Intell. Data Min.	2021	DBLP DOI BibTeX RDF
29	Xun Li 0002, Xianping Wu, Haixiang Yao	Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach.	J. Oper. Res. Soc.	2020	DBLP DOI BibTeX RDF
29	Xiangyu Cui, Xun Li 0002, Lanzhi Yang	Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem.	Oper. Res. Lett.	2020	DBLP DOI BibTeX RDF
29	Guangchen Wang, Tianxiao Wang	Time inconsistent asset-liability management with partial information.	Syst. Control. Lett.	2020	DBLP DOI BibTeX RDF
29	Delei Sheng, Peilong Shen	Portfolio Optimization with Asset-Liability Ratio Regulation Constraints.	Complex.	2020	DBLP DOI BibTeX RDF
29	Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li	Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio.	J. Comput. Appl. Math.	2020	DBLP DOI BibTeX RDF
29	Goutam Dutta, Harish V. Rao, Sankarshan Basu, Manoj Kumar Tiwari	Asset liability management model with decision support system for life insurance companies: Computational results.	Comput. Ind. Eng.	2019	DBLP DOI BibTeX RDF
29	Alan Fontoura, Diego Barreto Haddad, Eduardo Bezerra 0002	A Deep Reinforcement Learning Approach to Asset-Liability Management.	BRACIS	2019	DBLP DOI BibTeX RDF
29	Tomás Rusý, Milos Kopa	An asset-liability management stochastic program of a leasing company.	Kybernetika	2018	DBLP DOI BibTeX RDF
29	Xiangyu Cui, Xun Li 0002, Xianping Wu, Lan Yi	A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time.	J. Oper. Res. Soc.	2018	DBLP DOI BibTeX RDF
29	José L. Fernández, Ana M. Ferreiro, José Antonio García-Rodríguez, Carlos Vázquez 0002	GPU parallel implementation for asset-liability management in insurance companies.	J. Comput. Sci.	2018	DBLP DOI BibTeX RDF
29	Jian Pan, Qingxian Xiao	Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks.	Math. Methods Oper. Res.	2017	DBLP DOI BibTeX RDF
29	Jian Pan, Qingxian Xiao	Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
29	Nalan Gülpinar, Dessislava Pachamanova, Ethem Çanakoglu	A robust asset-liability management framework for investment products with guarantees.	OR Spectr.	2016	DBLP DOI BibTeX RDF
29	Mark H. A. Davis, Sébastien Lleo	Jump-diffusion asset-liability management via risk-sensitive control.	OR Spectr.	2015	DBLP DOI BibTeX RDF
29	Pascal Damel, Nadège Ribau-Peltre	Scientific Methodology to Model Liquidity Risk in UCITS Funds with an Asset Liability Approach: A Global Response to Financial and Prudential Requirements.	MCO (2)	2015	DBLP DOI BibTeX RDF
29	Chanjuan Li, Zhongfei Li	Multi-period portfolio optimization for asset-liability management with bankrupt control.	Appl. Math. Comput.	2012	DBLP DOI BibTeX RDF
29	Yan Zeng, Zhongfei Li	Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market.	J. Syst. Sci. Complex.	2011	DBLP DOI BibTeX RDF
29	Stefania Corsaro, Pasquale L. De Angelis, Zelda Marino, Francesca Perla, Paolo Zanetti	On parallel asset-liability management in life insurance: a forward risk-neutral approach.	Parallel Comput.	2010	DBLP DOI BibTeX RDF
29	Kyriaki Kosmidou, Constantin Zopounidis	Asset Liability Management Decision Support System.	Encyclopedia of Optimization	2009	DBLP DOI BibTeX RDF
29	Jitka Dupacová, Jan Polívka	Asset-liability management for Czech pension funds using stochastic programming.	Ann. Oper. Res.	2009	DBLP DOI BibTeX RDF	Defined contribution plan, Scenario-based stochastic programs, Case study, ALM, Output analysis
29	Marco Papi, Simone Sbaraglia	Optimal asset-liability management with constraints: A dynamic programming approach.	Appl. Math. Comput.	2006	DBLP DOI BibTeX RDF
29	Christian von Lücken, Benjamín Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra	A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management.	JCIS	2006	DBLP DOI BibTeX RDF
29	ManMohan S. Sodhi	LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications.	Oper. Res.	2005	DBLP DOI BibTeX RDF
29	C. Frangos, Stavros A. Zenios, Y. Yavin	Computation of feasible portfolio controlstrategies for an insurance company using a discrete time asset/liability model.	Math. Comput. Model.	2004	DBLP DOI BibTeX RDF
29	Graham Lord	Fads and Fallacies in Asset Liability Management for Life Insurance.	WSC	2004	DBLP BibTeX RDF
29	Harry Zheng, Lyn C. Thomas, David Edmund Allen	The duration derby: a comparison of duration based strategies in asset liability management.	CDC	2002	DBLP DOI BibTeX RDF
29	Jacek Gondzio, Roy Kouwenberg	High-Performance Computing for Asset-Liability Management.	Oper. Res.	2001	DBLP DOI BibTeX RDF
29	Kjetil Høyland, Stein W. Wallace	Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model.	Eur. J. Oper. Res.	2001	DBLP DOI BibTeX RDF
29	Roy Kouwenberg	Scenario generation and stochastic programming models for asset liability management.	Eur. J. Oper. Res.	2001	DBLP DOI BibTeX RDF
29	Alexei A. Gaivoronski, Petter E. de Lange	An Asset Liability Management Model for Casualty Insurers: Complexity Reduction vs. Parameterized Decision Rules.	Ann. Oper. Res.	2000	DBLP DOI BibTeX RDF
29	S. Seshadri, A. Khanna, Farid Harche, R. Wyle	A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York.	Oper. Res.	1999	DBLP DOI BibTeX RDF
29	Giorgio Consigli, M. A. H. Dempster	Dynamic stochastic programming for asset-liability management.	Ann. Oper. Res.	1998	DBLP DOI BibTeX RDF
29	Stavros A. Zenios	Asset/liability management under uncertainty for fixed-income securities.	Ann. Oper. Res.	1995	DBLP DOI BibTeX RDF
29	Dieter Langen	An (interactive) decision support system for bank asset liability management.	Decis. Support Syst.	1989	DBLP DOI BibTeX RDF
22	Teemu Pennanen	Financial Optimization.	OR	2006	DBLP DOI BibTeX RDF
22	Arjan Berkelaar, Joaquim A. S. Gromicho, Roy Kouwenberg, Shuzhong Zhang	A Primal-Dual Decomposition Algorithm for Multistage Stochastic Convex Programming.	Math. Program.	2005	DBLP DOI BibTeX RDF	Mathematics Subject Classification (1991) 90C15, 90C25, 90C51, 90C06
22	Julie S. McDuffee	HELPing writer and product team communication through online document design.	SIGDOC	1990	DBLP DOI BibTeX RDF