Asset-liability management for Czech pension funds using stochastic programming
نویسندگان
چکیده
منابع مشابه
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...
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System dynamics (SD) may amplify asset and liability management (ALM) methodology capability to be risk oriented. Therefore, this paper aims to apply SD principles to ALM models, in the specific case of pension funds. Conceptual issues assigned to ALM variables are described and a dynamic ALM approach, based on SD general principles and risk factors, is then examined. Risk must be defined in ta...
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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...
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This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension insurance company. In many respects the model resembles those presented in the literature, but it has some unique features stemming from the statutory restrictions for Finnish pension insurance companies. Particular attention is paid to modeling the stochastic factors, nume...
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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...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2008
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-008-0358-6