A robust asset and liability management model with empirical analysis

zbMATH Open1240.91184MaRDI QIDQ3170962FDOQ3170962

Authors: Dan Wu 

Publication date: 29 September 2011

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zbMATH Keywords

robust optimizationstochastic programmingempirical analysisasset and liability management

Mathematics Subject Classification ID

Stochastic programming (90C15) Corporate finance (dividends, real options, etc.) (91G50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (7)

• A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision
• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• Linking strategic and tactical planning systems for asset and liability management
• A robust asset-liability management framework for investment products with guarantees
• Asset and liability management: Recent advances
• An asset liability management model for casualty insurers: Complexity reduction vs. parameterized decision rules
• A framework for treating model uncertainty in the asset liability management problem

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