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http://bura.brunel.ac.uk/handle/2438/748| Title: | Asset liability management using stochastic programming |
| Authors: | Pirbhai, M Mitra, G Kyriakis, T |
| Issue 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: | Dept of Mathematics Research Papers Mathematical Sciences |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| CTR-02-03%20Mendi%20Pirbhai.pdf | 653.36 kB | Adobe PDF | View/Open |
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