The Stochastic Programming Approach to Asset, Liability and Wealth Management

نویسنده

  • William T. Ziemba
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

A Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming

We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors:  due to the longevity of the    PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...

متن کامل

طراحی مدل ریاضی برنامه‌ریزی پویای احتمالی مدیریت دارایی/بدهی شرکت‌های بیمه ایران

This paper provides a Stochastic Dynamic Programming (SDP) model for the optimization of Asset/Liability Management (ALM) in Iranian Insurance Companies (IIC). Regarding the legal and the operational constraints, and the characteristic of investment operations in Iran, the proposed SDP model maximizes the most important stockholder oriented objective of the insurance companies (long term wealth...

متن کامل

Insurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization

We seek to determine the optimal amount of the insurer’s investment in all types of assets for a small and closed economy. The goal is to detect the implications and contributions the risk seeker and risk aversion insurer commonly make and the effectiveness in the investment decision. Also, finding the optimum portfolio for each is the main goal of the present study. To this end, we adopted the...

متن کامل

High-Performance Computing for Asset-Liability Management

Financial institutions require sophisticated tools for risk management. For company-wide risk management both sides of the balance sheet should be considered, resulting in an integrated asset liability management approach. Stochastic programming models suit these needs well and have already been applied in the eld of asset liability management to improve nancial operations and risk management. ...

متن کامل

Effect of Asset and Liability management on Liquidity risk of Iranian Banks

In financial markets, the main component of risk management is liquidity risk. Asset and Liability Management (ALM) strategy is concerned with managing all risks. Asset and liability management seeks to manage liquidity risk, which refers to both the liquidity of markets and which assets can be translated into cash. The liquidity is importantly affected by the management of banks’ balance sheet...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2003