The splitting of variables and constraints in the formulation of integer programming models

Article Abstract:

An analysis is made of the concepts involved in the splitting of variables in an integer programming model. The splitting of variables into the sum of other variables disaggregates the constraints, resulting in a tighter linear programming relaxation. The reformulation technique can be achieved through three methods: disjunctive formulations, partial network reformulations and the use of auxillary variables.

Linear programming, Transformations (Mathematics)

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Scenario generation and stochastic programming models for asset liability management

Article Abstract:

Research is presented concerning the development of asset liability management models which relate to the multi-stage stochastic programming of a pension fund in the Netherlands. The testing of the models is discussed.

Research, Netherlands, Financial services industry, Financial services, Pension funds, Asset-liability management (Banking), Asset liability management (Banking)

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Corporate valuation, capital structure and risk management: A stochastic DCF approach

Article Abstract:

A stochastic discounted cash flow approach to corporate valuation, capital structure and risk management is proposed.

Asset & Risk Management, Usage, Risk management, Stochastic analysis

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