A robust optimization approach to asset-liability management under time-varying investment opportunities
Year of publication: |
2013
|
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Authors: | Gülpınar, Nalân ; Pachamanova, Dessislava A. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 6, p. 2031-2041
|
Subject: | Robust optimization | Asset-liability management | Computational tractability | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Robustes Verfahren | Robust statistics | Bilanzstrukturmanagement |
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