Article ID Journal Published Year Pages File Type
474293 Computers & Operations Research 2006 16 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
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