On multistage Stochastic Integer Programming for incorporating logical constraints in asset and liability management under uncertainty

Laureano Escudero (), María Araceli Garín, María Merino () and Gloria Pérez ()

Computational Management Science, 2009, vol. 6, issue 3, pages 307-327

Keywords: Multistage scenario tree; Assets and liabilities; Stochastic Integer Programming; Branch-and-Fix Coordination; Mean-risk function; 90C15; 90C11; 90C06 (search for similar items in EconPapers)
Date: 2009
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