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Strategic financial risk management and operations research

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  • Mulvey, John M.
  • Rosenbaum, Daniel P.
  • Shetty, Bala
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 97 (1997)
    Issue (Month): 1 (February)
    Pages: 1-16

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    Handle: RePEc:eee:ejores:v:97:y:1997:i:1:p:1-16

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

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    1. Peter W. Glynn & Donald L. Iglehart, 1989. "Importance Sampling for Stochastic Simulations," Management Science, INFORMS, vol. 35(11), pages 1367-1392, November.
    2. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(03), pages 301-329, September.
    3. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    4. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    5. Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. " Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
    6. Broze, L. & Scaillet, O. & Zakoïan, J.-M., . "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP -1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Chow, Gregory C., 1993. "Optimal control without solving the Bellman equation," Journal of Economic Dynamics and Control, Elsevier, vol. 17(4), pages 621-630, July.
    8. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-52, July.
    9. John R. Birge & Liqun Qi, 1988. "Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming," Management Science, INFORMS, vol. 34(12), pages 1472-1479, December.
    10. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
    11. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
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    Cited by:
    1. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
    2. 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.
    3. Man-Chung CHAN & Chi-Cheong WONG & Bernard K-S Cheung & Gordon Y-N Tang, 2002. "Genetic Algorithms in Multi-Stage Portfolio Optimization System," Computing in Economics and Finance 2002 165, Society for Computational Economics.
    4. Xiaolou Yang, 2006. "Improving Portfolio Efficiency: A Genetic Algorithm Approach," Computational Economics, Society for Computational Economics, vol. 28(1), pages 1-14, August.
    5. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1999. "Parameter estimation in stochastic scenario generation systems," European Journal of Operational Research, Elsevier, vol. 118(3), pages 563-577, November.
    6. Korhonen, Antti, 2001. "Strategic financial management in a multinational financial conglomerate: A multiple goal stochastic programming approach," European Journal of Operational Research, Elsevier, vol. 128(2), pages 418-434, January.
    7. Zopounidis, C., 1999. "Multicriteria decision aid in financial management," European Journal of Operational Research, Elsevier, vol. 119(2), pages 404-415, December.

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