Solving robust optimization models in finance

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

Leading international financial firms apply multi-stage stochastic programs for managing asset-liability risk over extended time periods. Prominent examples include: Towers Perrin, State Farm Insurance, Falcon Asset Management, Frank Russell, and Unilever. The asset liability management systems assist pension plan investors, banks, insurance companies and other leveraged institutions. Wealthy individuals can benefit by developing careful risk management strategies. The advantages of integrating assets and liabilities are discussed along with a brief comparison of alternative modeling frameworks. We describe the advantages of high performance computers for solving these difficult nonlinear robust optimization problems.

Original languageEnglish (US)
Title of host publicationIEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
PublisherIEEE
Pages1-13
Number of pages13
StatePublished - Dec 1 1996
EventProceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr - New York, NY, USA
Duration: Mar 24 1996Mar 26 1996

Other

OtherProceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr
CityNew York, NY, USA
Period3/24/963/26/96

All Science Journal Classification (ASJC) codes

  • Computer Science(all)
  • Economics, Econometrics and Finance(all)
  • Engineering(all)

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  • Cite this

    Mulvey, J. M. (1996). Solving robust optimization models in finance. In IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr) (pp. 1-13). IEEE.