This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed contracts at any time. In accounting for asset-liability mismatch risk institution, we present general utility optimization problem in discrete-time setting and provide dynamic programming principle investment strategies. Furthermore, consider an explicit...

Sovereign wealth funds (SWFs) started making the headlines in the midst of the global financial crisis. They were welcomed neither by academics nor by politicians of Western countries. In a flurry of 2008 papers SWF were peremptorily told what they should and shouldn’t do. The reasoning underlying the prescriptive norms was flawed in two respects. First it simply equated SWFs to other instituti...

conservation of biodiversity in protected areas will be more challenging if local communities are heavily dependent on them for various products and subsistence needs. this study estimated forest dependency and identified factors influencing dependency for households living around kasane forest reserve (kfr). data collected from 237 households were analyzed using logistic regression model. logi...

Purpose This paper aims to understand how immigrant entrepreneurs use digital opportunities overcome the liability of newness and foreignness an immigrant's ethnicity can be digitally performed as asset in business. Design/methodology/approach The study adopts inductive multiple case approach using social media content. data consist over 3,500 posts, images screenshots from Facebook, Instagram ...

The problem of asset liability management (ALM) is a classic the financial mathematics and great interest for banking institutions insurance companies. Several formulations this under various model settings have been studied Mean-Variance (MV) principle perspective. In paper, ALM revisited context uncertainty in one-stage framework. practice, issues appear to several aspects problem, e.g. proce...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability (or funding liquidity) modeling, the second focuses market and third considers asset-liability management gap matching). purpose this to propose methodological practical framework order perform stress testing programs, c...

The traditional approach towards derivative pricing consists of dynamically replicating a future liability by trading the assets on which that liability is written. However, the assumption that one can trade the assets is often rather restrictive. In some cases, say of options on commodities or funds, one can at best trade another correlated asset. In others, as in the case of basket options, e...

Over many years, securitization has proven to be an expedient and highly flexible refinancing tool for corporates and public sector entities that seek a more accurate capital-market based valuation of asset performance. After successful securitization by public sector entities in advanced countries, also sovereigns in emerging economies are becoming adept at securitization as an efficient means...

This paper sets out to address the issue of equity duration, one of several risk measures available for asset and liability management. Equity duration, as derived from the use of traditional dividend discount models, results in extremely long duration estimates for equities often in excess of 50 years for growth stocks. Leibowitz, in his seminal paper (1986), identified an alternative framewor...