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

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

Computational Management Science, 2009, vol. 6, issue 3, 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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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10287-006-0035-7

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