The level of modeling sophistication in financial services has increased considerably over
the years. Nowadays, the complexity of financial problems and the vast amount of data …

This paper explores the link between financial constraints and productivity using firm-level
data from Chinese manufacturing industries. Based on a dynamic optimization model which …

The ultimate goal for almost all companies in the current business world is to increase their
value; therefore, managers concentrate their efforts on the control of value drivers. This …

Team formation is one of the key stages in project management. The cost associated with
the individuals who form a team and the quality of the tasks completed by the team are two …

Open private pension schemes are subject to risk-based regulation. In this context, asset
and liability management (ALM) frameworks for pension plan operators are increasingly …

This paper proposes a multistage stochastic programming approach for the asset-liability
management of Brazilian pension funds. We generate asset price scenarios with stochastic …

Dynamic portfolio optimization has a vast literature exploring different simplifications by
virtue of computational tractability of the problem. Previous works provide solution methods …

Abstract Asset and Liability Management (ALM) is a critical framework for pension funds,
ensuring they have sufficient assets to meet future liabilities (pension payments) while …

We propose a method to compute derivatives of multistage linear stochastic optimization
problems with respect to parameters that influence the problem's data. Our results are based …

The objective of this study is to assess the importance of short-and long-run liquidity or debt
risk on technical inefficiency and productivity. An alternative panel estimator of normal …