Displaying similar documents to “An asset – liability management stochastic program of a leasing company”

Risk minimizing strategies for a portfolio of interest-rate securities

Andrzej Palczewski (2008)

Banach Center Publications

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The paper presents an application of stochastic control methods to fixed income management in an incomplete market with external economic factors. The objective of an investor is the minimization of a shortfall risk. The problem is reduced to the multidimensional Bellman equation. It is shown that for a large class of loss functions the equation possesses a continuous solution. We also consider loss functions from the HARA class and prove that for such functions the Hamilton-Jacobi-Bellman...

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...

Newsboy Problem: Viability of Optimal Initial Selling Price and Ordering Policies in the Presence of Exogenous Price Decline and Random Lead Time

Ningombam Sanjib Meitei, Snigdha Banerjee (2013)

RAIRO - Operations Research - Recherche Opérationnelle

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Analysis of empirical sales data lead us to consider newsboy model for four practical market conditions arising from the presence/absence of stochastic lead time and exogenous linear temporal decline in selling price when distribution of the stochastic demand depends upon initial selling price. Viability of the solutions is discussed for three strategies of obtaining optimal initial selling price and/or ordering quantity. Numerical studies are conducted to assess the effects of lead...

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

Łukasz Delong (2012)

Applicationes Mathematicae

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We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which...

Multistage risk premiums in portfolio optimization

Miloš Kopa, Barbora Petrová (2017)

Kybernetika

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This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller...

On using multistage linking constraints for stochastic optimization as a decision-making aid

Laureano F. Escudero (1998)

Revista de la Real Academia de Ciencias Exactas Físicas y Naturales

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We present a model1ing framework for multistage planning problems under uncertainty in the objective function coefficients and right-hand-side. A multistagy scenario analysis scheme with partial recourse is used. So, the decisíon polícy can be implemented for a given set of initial time periods (so-called implementable time stage), such that the solution for the other periods lioes not need' to be anticipated and, then, it depends upon the scenario group to occur at each stage. In any...

An alternative approach to bonus malus

Gracinda Rita Guerreiro, João Tiago Mexia (2004)

Discussiones Mathematicae Probability and Statistics

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Under the assumptions of an open portfolio, i.e., considering that a policyholder can transfer his policy to another insurance company and the continuous arrival of new policyholders into a portfolio which can be placed into any of the bonus classes and not only in the "starting class", we developed a model (Stochastic Vortices Model) to estimate the Long Run Distribution for a Bonus Malus System. These hypothesis render the model quite representative of the reality. With the obtained...

On modelling planning under uncertainty in manufacturing.

A. Alonso-Ayuso, L. F. Escudero, M.T. Ortuño (2007)

SORT

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We present a modelling framework for two-stage and multi-stage mixed 0-1 problems under uncertainty for strategic Supply Chain Management, tactical production planning and operations assignment and scheduling. A scenario tree based scheme is used to represent the uncertainty. We present the Deterministic Equivalent Model of the stochastic mixed 0-1 programs with complete recourse that we study. The constraints are modelled by compact and splitting variable representations via scenarios. ...