Optimal asset--liability management with constraints: A dynamic programming approach

DOI10.1016/J.AMC.2005.04.078MaRDI QIDQ2489174zbMATH OpenOpenAlexFDO

Authors Marco Papi, Simone Sbaraglia

Publication date 16 May 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.04.078

zbMATH Keywords

Asset-liability managementDynamic programmingPortfolio optimizationTransaction costs

Mathematics Subject Classification ID

Dynamic programming (90C39)

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Cites work

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• Multi‐asset portfolio optimization with transaction cost
• Portfolio Selection with Transaction Costs
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• Stochastic optimal control. The discrete time case
• Strategic asset allocation
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Cited in

(12)

• Resource-constrained management of heterogeneous assets with stochastic deterioration
• Regularity properties of constrained set-valued mappings
• Computation of feasible portfolio control strategies for an insurance company using a discrete time asset/liability model
• A continuous-time version of a delegated asset management problem
• Spectral decomposition of optimal asset-liability management
• Dynamic asset liability management with tolerance for limited shortfalls
• Dynamic programming models and algorithms for the mutual fund cash balance problem
• Solving ALM problems via sequential stochastic programming
• LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications
• On the surplus management of funds with assets and liabilities in presence of solvency requirements
• Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
• Asset and liability risk management in financial markets

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