Optimal financial decision making under uncertainty

We use a fairly general framework to analyze a rich variety of financial
optimization models presented in the literature, with emphasis on contributions
included in this volume and a related special issue of OR Spectrum. We do
not aim at providing readers with an exhaustive survey, rather we focus on a
limited but significant set of modeling and methodological issues. The framework
is based on a benchmark discrete-time stochastic control optimization framework,
and a benchmark financial problem, asset-liability management, whose generality
is considered in this chapter. A wide set of financial problems, ranging from asset
allocation to financial engineering problems, is outlined, in terms of objectives, risk
models, solution methods, and model users.We pay special attention to the interplay
between alternative uncertainty representations and solution methods, which have
an impact on the kind of solution which is obtained. Finally, we outline relevant
directions for further research and optimization paradigms integration.