Mathematical programming models with noisy, erroneous, or incomplete data are common
in operations research applications. Difficulties with such data are typically dealt with …

Several financial planning problems are posed as dynamic generalized network models
with stochastic parameters. Examples include: asset allocation for portfolio selection …

We develop multi-period dynamic models for fixed-income portfolio management under
uncertainty, using multi-stage stochastic programming with recourse. The models integrate …

Drawing on recent developments in discrete time fixed income options theory, we propose a
stochastic programming procedure, which we call stochastic dedication, for managing …

Dynamic linear programming (LP) models for asset-liability management (ALM) are quite
powerful and flexible but face two challenges:(1) many modeling choices, not all consistent …

Abstract Single Premium Deferred Annuities (SPDAs) are investment vehicles, offered to
investors by insurance companies as a means of providing income past their retirement age …

Pensioenfondsen moeten strategische beslissingen nemen ten aanzien van de hoogte van
de premie en de investeringen van de bezittingen. Sibrand Drijver formuleerde een …

We present a stochastic programming model for the management of large portfolios of
mortgage-backed securities (abbreviated: MBS). It is a two-stage, multiperiod model …

The management of credit risky assets requires simulation models that integrate the
disparate sources of credit and market risk, and suitable optimization models for scenario …

Cornelius Riese identifiziert und analysiert entlang der Wertschöpfungskette wesentliche
Industrialisierungstendenzen von Banken und präsentiert ein Modell, das das Verhalten …