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 …

Empirical risk minimization (ERM) is a crucial framework that offers a general approach to
handling a broad range of machine learning tasks. In this paper, we propose a novel …

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 …

In defined contribution (DC) pension schemes, the regulator usually imposes asset
allocation constraints (minimum and maximum limits by asset class) in order to create funds …

The frequency of incomplete portfolios consisting of a few risk-free assets is an important
issue in household portfolio selection, and its cause has not yet been satisfactorily identified …

We study the optimal corporate policy of a risk-averse shareholder under leverage-
dependent borrowing costs and other financial frictions. The firm's objective is to maximize …

В работе дан краткий обзор применения математических моделей сложных систем в
виде задач линейного и целочисленного линейного программирования. В частности …

In this paper, a novel two-stage multi-period stochastic model is developed to obtain a
comprehensive plan. This plan aims to manage the assets and liabilities such that all legal …

Abstract Silva, Rodrigo Ferreira Inocencio; Valladão, Davi Michel (Advisor); Silva, Thuener
Armando da (Co-Advisor). Assessment of a derivative management policy for risk-averse …