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| Title: | Asset liability management using stochastic programming |
| Authors: | Pirbhai, M
Mitra, G
Kyriakis, T |
| Publication Date: | 2003 |
| Publisher: | The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University |
| Citation: | The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University; Technical Reports |
| Abstract: | This chapter sets out to explain an important financial planning model
called asset liability management (ALM); in particular, it discusses why in
practice, optimum planning models are used. The ability to build an integrated
approach that combines liability models with that of asset allocation
decisions has proved to be desirable and more efficient in that it can lead to
better ALM decisions. The role of uncertainty and quantification of risk in
these planning models is considered. |
| URI: | http://carisma.brunel.ac.uk/papers/CTR-02-03%20Mendi%20Pirbhai.pdf
http://bura.brunel.ac.uk/handle/2438/748 |
| Appears in Collections: | Mathematics
School of Information Systems, Computing and Mathematics Research Papers
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