Chapter 6 Stochastic Programming Models for Asset Liability Management-Reference-Cited by-同舟云学术

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Chapter 6 Stochastic Programming Models for Asset Liability Management

Published:2006 Issue: Volume: Page:253-303
ISSN:1872-0978
Container-title:Theory and Methodology
language:
Short-container-title:

Author:

Kouwenberg Roy,Zenios Stavros A.

Publisher

Elsevier

Reference111 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. An economic approach to valuation of single premium deferred annuities;Asay,1993

3. Transaction costs and predictability: Some utility cost calculations;Balduzzi;Journal of Financial Economics,1999

4. Predictability and transaction costs: The impact on rebalancing rules and behavior;Balduzzi;Journal of Finance,2000

5. Investing for the long run when returns are predictable;Barberis;Journal of Finance,2000

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