Event tree based sampling

Joocheol Kim

doi:10.1016/j.cor.2004.09.008

Event tree based sampling

Joocheol Kim

Department of Economics

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.

Original language	English
Pages (from-to)	1184-1199
Number of pages	16
Journal	Computers and Operations Research
Volume	33
Issue number	5
DOIs	https://doi.org/10.1016/j.cor.2004.09.008
Publication status	Published - 2006 May

Bibliographical note

Funding Information:
The author would like to thank two anonymous referees and the editor for their helpful comments. This work was supported (in part) by Yonsei University Research Fund of 2003.

All Science Journal Classification (ASJC) codes

Computer Science(all)
Modelling and Simulation
Management Science and Operations Research

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10.1016/j.cor.2004.09.008

Cite this

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abstract = "We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.",

author = "Joocheol Kim",

note = "Funding Information: The author would like to thank two anonymous referees and the editor for their helpful comments. This work was supported (in part) by Yonsei University Research Fund of 2003.",

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PY - 2006/5

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AB - We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.

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Event tree based sampling

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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