Asset liability management using stochastic programming

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

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DC Field	Value	Language
dc.contributor.author	Pirbhai, M	-
dc.contributor.author	Mitra, G	-
dc.contributor.author	Kyriakis, T	-
dc.coverage.spatial	15	en
dc.date.accessioned	2007-05-09T14:14:38Z	-
dc.date.available	2007-05-09T14:14:38Z	-
dc.date.issued	2003	-
dc.identifier.citation	The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University; Technical Reports	en
dc.identifier.uri	http://carisma.brunel.ac.uk/papers/CTR-02-03%20Mendi%20Pirbhai.pdf	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/748	-
dc.description.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.	en
dc.format.extent	669042 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University	en
dc.title	Asset liability management using stochastic programming	en
dc.type	Research Paper	en
Appears in Collections:	Dept of Mathematics Research Papers Mathematical Sciences

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