Title of article
Event tree based sampling
Author/Authors
Joocheol Kim، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2006
Pages
16
From page
1184
To page
1199
Abstract
We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.
Keywords
Stochastic programming , Asset liability management , Sampling-based optimization
Journal title
Computers and Operations Research
Serial Year
2006
Journal title
Computers and Operations Research
Record number
928700
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