Event tree based sampling

Authors:
Joocheol Kim
Affiliations:
Department of Economics, Yonsei University, Seodaemun-ku, Seoul, Republic of Korea
Venue:
Computers and Operations Research
Year:
2006

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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.