This paper investigates an optimal asset-liability management problem within the expected utility maximization framework. The general hyperbolic absolute risk aversion (HARA) is adopted to describe preference of manager. financial market comprises a risk-free asset and risky asset. price depends on affine diffusion factor process, which includes, but not limited to, constant elasticity variance...

We extend the analysis in Sloan (1996) to identify the source of information in accruals about earnings quality. Our results indicate that information in accruals about earnings quality is not limited to the current accruals analyzed by Sloan, but extends to non-current accruals. We also show that while information in accruals originates almost exclusively from asset accruals, liability accrual...

Procedures are presented that allow the empiricist to estimate and test asset pricing models on limited-liability securities without the assumption that the historical payoff distribution provides a consistent estimate of the market’s prior beliefs. The procedures effectively filter return data for unspecified historical biases in the market’s priors. They do not involve explicit estimation of ...

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...

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...

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...

In-Situ Resource Utilization (ISRU) of lunar materials for the establishment of an extra-terrestrial human base or settlement will involve guarding against, as well as utilizing, the ever-present, clinging, penetrating, abrasive, resource-rich, fine-grained lunar dust. The properties of the fine portion of the lunar soil (<50 μm), its dust, must be adequately addressed before any sustained pres...