Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
474293 | Computers & Operations Research | 2006 | 16 Pages |
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)
Authors
Joocheol Kim,