Publications des institutions partenaires
Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts
Institution partenaire
English / 01/01/2001
Stochastic linear programs with recourse and arbitrary multivariate distributions
Institution partenaire
English / 01/01/2001
Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation
This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multi-factor term structure models are estimated based on historical data for the Swiss…
Institution partenaire
English / 01/12/2000
Test problems in stochastic multistage programming
This paper provides a set of stochastic multistage programs where the evolvement of uncertain factors is given by stochastic processes. We treat a practical problem statement within the field of managing fixed-income securities. Detailed information on the used parameter values in various interest rate models is given. Barycentric approximation is applied to obtain computational…
Institution partenaire
English / 01/01/2000
Time Series Models in Intertemporal Portfolio Optimisation
Institution partenaire
English / 01/01/1998
A Stochastic Optimization Model for the Investment of Savings Account Deposits
A bank's financial management faces various sources of uncertainty when funds from savings account deposits are invested in the marketplace. Future interest rates are unknown and customers are allowed to withdraw their deposits at any point in time. The objective is to find a portfolio of fixed income instruments that maximizes the bank's interest surplus from the…
Institution partenaire
English / 03/09/1997
Linear Duality, Term Structure, and Valuation
The paper's objective is to interpret no-arbitrage conditions by means of linear programming. Basic statements about the term structure of a market with frictions can be derived using the relation of primal and associated dual programs. The duality concept applies mutatis mutandis to the valuation of cash flows from an individual investor's point of view.
Institution partenaire
English / 03/09/1997
Approximations of Profit-and-Loss Distributions (Management Version)
The incorporation of single-factor interest rate models within the stochastic programming methodology is investigated and applied to multiperiod investment. Barycentric approximation is used for discretizing the stochastic factors and for generating scenario trees which take the various term structure movements into account. It is shown that employing the Vasicek model for the…
Institution partenaire
English / 01/01/1997
Approximations of Profit-and-Loss Distributions (Part II)
working report - Former investigation (Approximation of Profit-and-Loss Distributions, Part I) introduces the application of the barycentric approximation methodology for evaluating profit-and-loss distributions numerically. Although, convergence of the quantiles is ensured by the weak convergence of the discrete measures, as proclaimed in Part I, recent numerical results have…
Institution partenaire
English / 01/01/1997
Mean-Variance Analysis in a Multiperiod Setting
Similar to the classical Markowitz approach it is possible to apply a mean-variance criterion to a multiperiod setting to obtain efficient portfolios. To represent the stochastic dynamic characteristics necessary for modelling returns a process of asset returns is discretized with respect to time and space and summarized in a scenario tree. The resulting optimization problem is…
Institution partenaire
English / 01/01/1997
Refinement Issues in Stochastic Multistage Linear Programming
Institution partenaire
English / 17/06/1996
Stochastic Programming Tutorial for Financial Decision Making (The Saddle Property of Optimal Profits)
The complexity of the interaction between time and uncertainty made finance models to one of the most important applications of probability theory and optimization theory. Stochastic programming combines those two fields with the intention to design methodologies for planning under uncertainty. This tutorial consists of two parts, written for practitioners, in particular financial…
Institution partenaire
English / 01/01/1996
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