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Solving long-term financial planning problems via global optimization

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Author Info

  • Maranas, C. D.
  • Androulakis, I. P.
  • Floudas, C. A.
  • Berger, A. J.
  • Mulvey, J. M.
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    Abstract

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    File URL: http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-6/2/69db4df295f4f28dc78914bb7439ff45
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 21 (1997)
    Issue (Month): 8-9 (June)
    Pages: 1405-1425

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    Handle: RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1405-1425

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    Web page: http://www.elsevier.com/locate/jedc

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    References

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    1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
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    Cited by:
    1. Arjen Siegmann, 2003. "Optimal Investment Policies for Defined Benefit Pension Funds," DNB Staff Reports (discontinued) 112, Netherlands Central Bank.
    2. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
    3. Ruth Misener & Christodoulos Floudas, 2013. "GloMIQO: Global mixed-integer quadratic optimizer," Journal of Global Optimization, Springer, vol. 57(1), pages 3-50, September.
    4. Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer, vol. 18(2), pages 191-211, May.
    5. Barbara Glensk & Reinhard Madlener, 2013. "Multi-period portfolio optimization of power generation assets," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 4, pages 20-38.

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