A hybrid simulation/optimisation scenario model for asset/liability management

This publication has 11 references indexed in Scilit:

• Funding Ratio Return
  The Journal of Portfolio Management, 1994
• An Investment Strategy for Defined Benefit Plans
  CFA Magazine, 1994
• The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming
  Interfaces, 1994
• Forecasting with scenarios
  European Journal of Operational Research, 1993
• Downside risk
  The Journal of Portfolio Management, 1991
• The multidimensional markov chain with prespecified asymptotic means, and (auto-)covariances
  Communications in Statistics - Theory and Methods, 1991
• Liabilities— A New Approach
  The Journal of Portfolio Management, 1990
• A move toward scenario analysis
  International Journal of Forecasting, 1988
• A new method of scenario analysis for strategic planning
  Journal of Forecasting, 1988
• Macroeconomics and Reality
  Econometrica, 1980