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Asset liability management under sequential stochastic dominance constraints

Published: 2023/11/24
  • Darinka Dentcheva
  • Francesca Maggioni
  • Giovanni Micheli
  • Categories Finance and Economics, Stochastic Programming Tags Asset-liability management, Decomposition methods, multistage stochastic programming, stochastic dominance, time consistency Short URL: https://optimization-online.org/?p=24837

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    alternating direction method of multipliers approximation algorithms augmented lagrangian method bilevel optimization Branch-and-Bound branch-and-cut chance constraints column generation combinatorial optimization complexity conic optimization convex optimization cutting planes decomposition derivative-free optimization distributionally robust optimization duality dynamic programming first-order methods global convergence global optimization heuristics integer programming interior point methods large-scale optimization linear programming machine learning mixed-integer linear programming mixed-integer nonlinear programming mixed-integer programming multiobjective optimization nonconvex optimization nonlinear optimization nonlinear programming nonsmooth optimization optimal control optimization proximal point algorithm quadratic programming robust optimization semidefinite programming stochastic optimization stochastic programming trust-region methods unconstrained optimization

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