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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/748

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:School of Information Systems, Computing and Mathematics Research Papers
Mathematical Science

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