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High-Performance Computing for Asset-Liability Management

Citations

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Cited by:

  1. Streutker, Matthijs & van der Vlerk, Maarten & Klein Haneveld, Wim, 2007. "Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds," Research Report 07005, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  2. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.
  3. Francisco Salas-Molina, 2024. "Fitting random cash management models to data," Papers 2401.08548, arXiv.org.
  4. Gülpinar, Nalan & Pachamanova, Dessislava, 2013. "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2031-2041.
  5. Oancea, Bogdan, 2014. "Parallel Computing in Economics - An Overview of the Software Frameworks," MPRA Paper 72039, University Library of Munich, Germany.
  6. William T. Ziemba, 2013. "Portfolio optimization: theory and practical implementation," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 2, pages 45-72, Edward Elgar Publishing.
  7. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  8. Enrico Bettiol & Lucas Létocart & Francesco Rinaldi & Emiliano Traversi, 2020. "A conjugate direction based simplicial decomposition framework for solving a specific class of dense convex quadratic programs," Computational Optimization and Applications, Springer, vol. 75(2), pages 321-360, March.
  9. Zhang, S., 2002. "An interior-point and decomposition approach to multiple stage stochastic programming," Econometric Institute Research Papers EI 2002-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May.
  11. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
  12. Staino, Alessandro & Russo, Emilio, 2015. "A moment-matching method to generate arbitrage-free scenarios," European Journal of Operational Research, Elsevier, vol. 246(2), pages 619-630.
  13. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
  14. John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
  15. Gondzio, Jacek & Grothey, Andreas, 2007. "Solving non-linear portfolio optimization problems with the primal-dual interior point method," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1019-1029, September.
  16. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
  17. repec:dgr:rugsom:07005 is not listed on IDEAS
  18. Christopher Bayliss & Marti Serra & Armando Nieto & Angel A. Juan, 2020. "Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities," Risks, MDPI, vol. 8(4), pages 1-14, December.
  19. Marchioni, Andrea & Magni, Carlo Alberto, 2018. "Investment decisions and sensitivity analysis: NPV-consistency of rates of return," European Journal of Operational Research, Elsevier, vol. 268(1), pages 361-372.
  20. X. W. Liu & M. Fukushima, 2006. "Parallelizable Preprocessing Method for Multistage Stochastic Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 131(3), pages 327-346, December.
  21. Magni, Carlo Alberto & Marchioni, Andrea & Baschieri, Davide, 2023. "The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement," European Journal of Operational Research, Elsevier, vol. 306(2), pages 872-892.
  22. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
  23. Blomvall, Jorgen & Lindberg, Per Olov, 2002. "A Riccati-based primal interior point solver for multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 143(2), pages 452-461, December.
  24. Castro, Jordi, 2009. "A stochastic programming approach to cash management in banking," European Journal of Operational Research, Elsevier, vol. 192(3), pages 963-974, February.
  25. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.
  26. Alois Geyer & William T. Ziemba, 2008. "The Innovest Austrian Pension Fund Financial Planning Model InnoALM," Operations Research, INFORMS, vol. 56(4), pages 797-810, August.
  27. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
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