Strategic ® nancial management in a multinational ® nancial conglomerate : A multiple goal stochastic programming approach q

The paper discusses a multi-stage stochastic programming approach to the strategic ®nancial management of a multi-company ®nancial conglomerate. The planning system creates a comprehensive strategy which simultaneously covers a number of future scenarios within a multi-period planning horizon. Multiple con ̄icting goals may be speci®ed for the group level, company level or individual business area level, and the decision makerÕs preferences are allowed to change over time to re ̄ect changing operating conditions and trade-o€ relationships between the goals. Special features include, among other things, full market valuation throughout the model, integrated treatment of di€erent types of risks, explicit modelling of various types of intra-group transactions and relationships, extensive structures to deal with distressed assets and the covering of losses within the group, as well as consideration of potential portfolio e€ects of a diversi®ed group structure on the cost of funding. Ó 2001 Elsevier Science B.V. All rights reserved.