A stochastic programming approach to managing liquid asset portfolios
Helgard Raubenheimer; Machiel F. Kruger
Kybernetika (2010)
- Volume: 46, Issue: 3, page 536-547
- ISSN: 0023-5954
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topRaubenheimer, Helgard, and Kruger, Machiel F.. "A stochastic programming approach to managing liquid asset portfolios." Kybernetika 46.3 (2010): 536-547. <http://eudml.org/doc/196977>.
@article{Raubenheimer2010,
abstract = {Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period horizon, as well as for flexible risk management decisions, such as reinvesting coupons, at intermediate time steps. We show how our problem closely relates to insurance products with guarantees and utilize this in the formulation. We will discuss our formulation and implementation of a multi-stage stochastic programming model that minimizes the down-side risk of these portfolios. The model is back-tested on real market data over a period of two years},
author = {Raubenheimer, Helgard, Kruger, Machiel F.},
journal = {Kybernetika},
keywords = {stochastic programming; portfolio optimization; liquid assets; stochastic programming; portfolio optimization; liquid assets},
language = {eng},
number = {3},
pages = {536-547},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A stochastic programming approach to managing liquid asset portfolios},
url = {http://eudml.org/doc/196977},
volume = {46},
year = {2010},
}
TY - JOUR
AU - Raubenheimer, Helgard
AU - Kruger, Machiel F.
TI - A stochastic programming approach to managing liquid asset portfolios
JO - Kybernetika
PY - 2010
PB - Institute of Information Theory and Automation AS CR
VL - 46
IS - 3
SP - 536
EP - 547
AB - Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period horizon, as well as for flexible risk management decisions, such as reinvesting coupons, at intermediate time steps. We show how our problem closely relates to insurance products with guarantees and utilize this in the formulation. We will discuss our formulation and implementation of a multi-stage stochastic programming model that minimizes the down-side risk of these portfolios. The model is back-tested on real market data over a period of two years
LA - eng
KW - stochastic programming; portfolio optimization; liquid assets; stochastic programming; portfolio optimization; liquid assets
UR - http://eudml.org/doc/196977
ER -
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