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00-041/2 - Analytic Decision Rules for Financial Stochastic Programs


  • Authors
    Arjen H. Siegmann, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam
  • Publication date
    May 12, 2000
  • Keywords
    downside-risk; stochastic programming; asset-allocation; value-at-risk; time diversification; asset/liability management
  • JEL
    C61; G11; G23