Journal ArticleDOI
Dynamic models for fixed-income portfolio management under uncertainty
TLDR
In this paper, the authors developed multi-period dynamic models for fixed-income portfolio management under uncertainty, using multi-stage stochastic programming with recourse, and evaluated their performance vis-a-vis single-period models.About:
This article is published in Journal of Economic Dynamics and Control.The article was published on 1998-08-28. It has received 84 citations till now. The article focuses on the topics: Portfolio optimization & Stochastic programming.read more
Citations
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Journal ArticleDOI
Simulation in manufacturing and business: A review
TL;DR: The results of a review of simulation applications published within peer-reviewed literature between 1997 and 2006 are reported to provide an up-to-date picture of the role of simulation techniques within manufacturing and business.
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Parallel Optimization: Theory, Algorithms and Applications
TL;DR: Yair Censor and Stavros A. Zenios, Oxford University Press, New York, 1997, 539 pp.
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An evolutionary heuristic for the index tracking problem
TL;DR: An evolutionary heuristic (population heuristic) is presented for the solution of the index tracking problem and Computational results are presented for five data sets drawn from major world markets.
Journal ArticleDOI
The Innovest Austrian Pension Fund Financial Planning Model InnoALM
Alois Geyer,William T. Ziemba +1 more
TL;DR: The financial planning model InnoALM, developed at Innovest for the Austrian pension fund of the electronics firm Siemens, uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length to improve pension fund performance.
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Carsharing: Dynamic Decision-Making Problem for Vehicle Allocation
TL;DR: In this paper, a multistage stochastic linear integer model with recourse is formulated that can account for system uncertainties such as carsharing demand variation, which is used to solve the carharing dynamic vehicle allocation problem.
References
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Journal ArticleDOI
Robust Optimization of Large-Scale Systems
TL;DR: This paper characterize the desirable properties of a solution to models, when the problem data are described by a set of scenarios for their value, instead of using point estimates, and develops a general model formulation, called robust optimization RO, that explicitly incorporates the conflicting objectives of solution and model robustness.
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A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options
TL;DR: In this article, a one-factor model of interest rates and its application to Treasury bond options is presented, with a focus on the use of options as an alternative to bonds.
Journal ArticleDOI
Strategic asset allocation
TL;DR: In this article, the authors analyze the portfolio problem of an investor who can invest in bonds, stock, and cash when there is time variation in expected returns on the asset classes.