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Mortgage loan portfolio optimization using multi-stage stochastic programming

Rasmussen, Kourosh Marjani; Clausen, Jens - In: Journal of economic dynamics & control 31 (2007) 3, pp. 742-766

Persistent link: https://www.econbiz.de/10003421535

A combined stochastic programming and optimal control approach to peronal finance and pensions

Konicz, Agnieszka Karolina; Pisinger, David; Rasmussen, … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 583-616

Persistent link: https://www.econbiz.de/10011296745

A Combined Stochastic Programming and Optimal Control Approach to Personal Finance and Pensions

Konicz Bell, Agnieszka K. - 2015

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

Persistent link: https://www.econbiz.de/10013033671

Life-cycle asset allocation and consumption using stochastic linear programming

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: The journal of computational finance 12 (2009) 4, pp. 29-50

Persistent link: https://www.econbiz.de/10009534612

Asset-liability management under time-varying investment opportunities

Ferstl, Robert; Weissensteiner, Alex - In: Journal of banking & finance 35 (2011) 1, pp. 182-192

Persistent link: https://www.econbiz.de/10009244427

A stochastic programming approach for multi-period portfolio optimization

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Computational Management Science : CMS 6 (2009) 2, pp. 187-208

Persistent link: https://www.econbiz.de/10003828694

Scenario tree generation and multi-asset financial optimization problems

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Operations research letters 41 (2013) 5, pp. 494-498

Persistent link: https://www.econbiz.de/10010189850

Financial planning for young households

Pedersen, Anne Marie B.; Weissensteiner, Alex; Poulsen, Rolf - In: Operations research models in banking management, (pp. 55-76). 2013

Persistent link: https://www.econbiz.de/10009739305

Optimal granularity for portfolio choice

Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146

Persistent link: https://www.econbiz.de/10012169950