Navegação Produção Científica por Assunto "Otimização estocástica"
Resultados 1-2 de 2
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A multistage stochastic programming asset-liability management model : an application to the Brazilian pension fund industry
(2017) [Artigo de periódico]This paper proposes a multistage stochastic programming approach for the asset-liability management of Brazilian pension funds. We generate asset price scenarios with stochastic differential equations—Geometric Brownian ... -
Performance comparison of scenario-generation methods applied to a stochastic optimization asset-liability management model
(2018) [Artigo de periódico]In this paper, we provide an empirical discussion of the differences among some scenario tree-generation approaches for stochastic programming. We consider the classical Monte Carlo sampling and Moment matching methods. ...