Discretized reality and spurious profits in stochastic programming models for asset/liability management
نویسندگان
چکیده
منابع مشابه
Discretized Reality and Spurious Profits in Stochastic Programming Models for Asset/Liability Management
In the literature on stochastic programming models for practical portfolio investment problems, relatively little attention has been devoted to the question how the necessarily approximate description of the asset-price uncertainty in these models influences the optimal solution. In this paper we will show that it is important that asset prices in such a description are arbitrage-free. Descript...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 1997
ISSN: 0377-2217
DOI: 10.1016/s0377-2217(96)00404-3