PERFORMANCE COMPARISON OF SCENARIO-GENERATION METHODS APPLIED TO A STOCHASTIC OPTIMIZATION ASSET-LIABILITY MANAGEMENT MODEL

Scenario generation and stochastic programming models for asset liability management

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...

A Model of Asset and Liability Management and Monetary Shocks (DSGE Model)

Asset-liability mismatch in balance sheet of banks shows serious challenges in banks because of the traditional methods of recording assets and liabilities at book value in Iran. The Central Bank of the country motivated and advised banks to take concrete steps in minimizing the mismatch in the asset-liability composition. This paper attempts to suggest a micro funded framework that can evaluat...

Dynamic stochastic programming for asset-liability management

Multistage stochastic programming in contrast to stochastic control has found wide application in the formulation and solution of nancial problems characterized by a large number of state variables and a generally low n umber of possible decision stages. The literature on the use of multistage recourse modelling to formalize complex portfolio optimization problems dates back to the early sevent...

A Stochastic Optimization Model for Groundwater Management

Scenario optimization asset and liability modelling for individual investors

We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some time University of Palermo,IT. [email protected] Prometeia, Bologna, IT. [email protected] University of Cyprus, Nicosia, CY, and The Financial Institutions Center, The Wharton School, Philadelphia...