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