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检索条件"主题词=Dynamic Stochastic Programming"
17 条 记 录,以下是11-20 订阅
排序:
A dynamic ALM Model for Chinese Commercial Bank
A Dynamic ALM Model for Chinese Commercial Bank
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第三届(2011)金融风险与公司财务管理国际研讨会
作者: GUO Yin,REN Ruoen School of Economics and Management,Beihang University,Beijing,China,100191
Asset and Liability Management(ALM) plays an important role as a risk management tool in Chinese commercial banks after China joined WTO. It is an integrated technique on the management of a bank's balance *** man... 详细信息
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Cash management using multi-stage stochastic programming
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QUANTITATIVE FINANCE 2010年 第2期10卷 209-219页
作者: Ferstl, Robert Weissensteiner, Alex Univ Innsbruck Dept Banking & Finance A-6020 Innsbruck Austria Univ Regensburg Dept Finance Regensburg Germany
We consider a cash management problem where a company with a given financial endowment and given future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal ... 详细信息
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Designing minimum guaranteed return funds
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QUANTITATIVE FINANCE 2007年 第2期7卷 245-256页
作者: Dempster, A. A. H. Germano, M. Medova, E. A. Rietbergen, M. I. Sandrini, F. Scrowston, M. Univ Cambridge Judge Business Sch Ctr Financial Res Cambridge CB2 1TN England Cambridge Syst Associates Ltd Cambridge England Pioneer Investment Management Ltd Dublin 2 Ireland Securitisat & Asset Monetisat Grp London England
In recent years there has been a significant growth of investment products aimed at attracting investors who are worried about the downside potential of the financial markets. This paper introduces a dynamic stochasti... 详细信息
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dynamic stochastic programming for asset-liability management
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ANNALS OF OPERATIONS RESEARCH 1998年 第s期81卷 131-161页
作者: Consigli, G Dempster, MAH Univ Cambridge Judge Inst Management Studies Cambridge CB2 1AG England
Multistage stochastic programming - in contrast to stochastic control - has found wide application in the formulation and solution of financial problems characterized by a large number of state variables and a general... 详细信息
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EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
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ANNALS OF OPERATIONS RESEARCH 1999年 第s期90卷 161-184页
作者: Dempster, MAH Thompson, RT Univ Cambridge Judge Inst Management Studies Cambridge England
Multistage stochastic linear programming has many practical applications for problems whose current decisions have to be made under future uncertainty. There are a variety of methods for solving the deterministic equi... 详细信息
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Parallelization and aggregation of nested benders decomposition
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ANNALS OF OPERATIONS RESEARCH 1998年 81卷 163-187页
作者: Dempster, MAH Thompson, RT Univ Cambridge Judge Inst Management Studies Cambridge CB2 1AG England
dynamic multistage stochastic linear programming has many practical applications for problems whose current decisions have to be made under future uncertainty. There are a variety of methods for solving these problems... 详细信息
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On stochastic programming ii: dynamic problems under risk∗
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stochastics 1988年 第1期25卷 15-42页
This paper surveys recent work on dynamic stochastic programming problems and their applications. New results are included on the measurability and interpretation-in terms of the expected value of perfect information ... 详细信息
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