This is a preview. Log in through your library . Abstract A method is proposed for finding a closed form expression for the cumulative distribution function (CDF) of the maximum value of the objective ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...

Abstract. In this paper, we study two-stage stochastic linear programming (SLP) problems with fixed recourse. The problem is often large scale as the objective function involves an expectation over a ...