Assets/liabilities portfolio immunization as an optimization problem
Alina Kondratiuk-Janyska, Marek Kałuszka (2006)
Control and Cybernetics
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Displaying similar documents to “Gain-loss pricing under ambiguity of measure”
Assets/liabilities portfolio immunization as an optimization problem
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Discrete analysis of portfolio selection with optimal stopping time.
Liang, Jianfeng (2009)
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Alejandro Balbás, Miguel Mirás, María José Muñoz (1998)
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Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
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A stochastic programming approach to managing liquid asset portfolios
Helgard Raubenheimer, Machiel F. Kruger (2010)
Kybernetika
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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...