Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition

Numerical recipes in C

1994 • 15,831 citations

Portfolio Selection: Efficient Diversification of Investments

1959 • 5,744 citations

Parallel and Distributed Computation: Numerical Methods

1989 • 5,603 citations

The Connection Machine

1985 • 1,664 citations

Scenarios and Policy Aggregation in Optimization Under Uncertainty

1991 • 1,280 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Mean-Risk Analysis with Risk Associated with Below-Target Returns

1975 • 1,236 citations

L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

1969 • 1,224 citations

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

1990 • 956 citations

From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’

2017 • 551 citations

Vector models for data-parallel computing

1990 • 487 citations

A Bank Asset and Liability Management Model

1986 • 321 citations

Mathematical Programming: Structures and Algorithms

1981 • 294 citations

Corporate bond valuation and the term structure of credit spreads

1991 • 260 citations

Prepayments on fixed-rate mortgage-backed securities

1989 • 208 citations

Parallel decomposition of multistage stochastic programming problems

1993 • 163 citations

Stochastic network optimization models for investment planning

1989 • 128 citations

A GENERAL CLASS OF THREE‐PARAMETER RISK MEASURES

1973 • 102 citations

Complete Prepayment Models for Mortgage-Backed Securities

1992 • 76 citations

PREFERENCES OVER TIME

1993 • 58 citations

Financial Simulations On a Massively Parallel Connection Machine

1991 • 40 citations

Planning under uncertainty using parallel computing

1988 • 38 citations

A classification of structured bond portfolio modeling techniques

1990 • 33 citations

Decomposition of linear programs using parallel computation

1988 • 32 citations

Linear‐quadratic efficient frontiers for portfolio optimization

1992 • 30 citations

Management of Commercial Bank Government Security Portfolios: An Optimization Approach Under Uncertainty

1973 • 30 citations

Performance of a benchmark parallel implementation of the Van Slyke and Wets algorithm for two‐stage stochastic programs on the Sequent/Balance

1991 • 30 citations

Neglected complexities in structured bond portfolios

1989 • 12 citations

Parallel Processing in the Solution of Two-Stage Stochastic Linear Programs with Complete Recourse

1989 • 1 citations