A Fractional Programming Problem for Bank Asset and Liability Managemen

Dynamic stochastic programming for asset-liability management

Multistage stochastic programming in contrast to stochastic control has found wide application in the formulation and solution of nancial problems characterized by a large number of state variables and a generally low n umber of possible decision stages. The literature on the use of multistage recourse modelling to formalize complex portfolio optimization problems dates back to the early sevent...

Scenario generation and stochastic programming models for asset liability management

In this paper we develop and test scenario generation methods for asset liability management models. We propose a multi-stage stochastic programming model for a Dutch pension fund. Both randomly sampled event trees and event trees tting the mean and the covariance of the return distribution are used for generating the coeecients of the stochastic program. In order to investigate the performance...

Asset-liability management for Czech pension funds using stochastic programming

It is possible to model a wide range of portfolio management problems using stochastic programming. This approach requires the generation of input scenarios and probabilities, which represent the evolution of the return on investment, the stream of liabilities and other random phenomena of the problem and respect the no-arbitrage properties. The quality of the recommended capital allocation dep...

The Stochastic Programming Approach to Asset, Liability and Wealth Management

A Suggested Approach for Stochastic Interval-Valued Linear Fractional Programming problem

In this paper, we considered a Stochastic Interval-Valued Linear Fractional Programming problem(SIVLFP). In this problem, the coefficients and scalars in the objective function are fractional-interval, and technological coefficients and the quantities on the right side of the constraints were random variables with the specific distribution. Here we changed a Stochastic Interval-Valued Fractiona...