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 ...

This is a preview. Log in through your library . Abstract The basic properties are stated of a linear programming problem with a linear objective function having quadratic constraints whose associated ...