• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Crash Course in Experimental Economics
      • Behavioral Macro and Complexity
      • Introduction in Genome-Wide Data Analysis
      • Econometric Methods for Forecasting and Data Science
  • Times

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