In recent years, there has been considerable discussion on the matter of channeling credit into socially desirable investments. Among the many problems to be faced in this area are (1) identifying those social objectives or sectors that warrant special attention, and (2) reducing the resulting large, number which would certainly include housing, small business, agriculture, and environmental co...

The scope of this paper is to analyse duration as a risk measure of life insurance liabilities from traditional life insurance products using a simple model to assess the problem. First, the liabilities are defined. Then the concept of Macauley duration as a measure for interest rate risk with respect to life insurance liabilities is derived. This concept is discussed with respect to its useful...

Abstract Foreignness has long been a central construct in international business research, with research streams examining its conceptualizations, manifestations, and consequences. Researchers started by taking foreignness to be liability, then later considered the possibility of being an asset. A still more recent view is that organizational identity firm can purposefully manage. Broadly conce...

We present an \asset/liability" model for a hydropower producer operating in a deregulated electricity market. The focus in this modeling eeort is on the coordination of physical generation resources in the form of multiple hydropower reservoirs, with \paper" resources in the form of nancial instruments on electricity. These portfolio management instruments are available in functioning forward ...

This paper presents an asset liability management model based on robust optimization techniques. The model explicitly takes into consideration the time-varying aspect of investment opportunities. The emphasis of the proposed approach is on computational tractability and practical appeal. Computational studies with real market data study the performance of robust-optimization-based strategies, a...

We develop a methodology for evaluating a decision strategy generated by a stochastic optimization model. The methodology is based on a pilot study in which we estimate the distribution of performance associated with the strategy, and define an appropriate stratified sampling plan. An algorithm we call filtered search allows us to implement this plan efficiently. We demonstrate the approach’s a...