A robust asset-liability management framework for investment products with guarantees

DOI10.1007/S00291-016-0437-ZMaRDI QIDQ331783zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Ethem Çanakoğlu, Nalân Gülpinar, Dessislava A. Pachamanova

Publication date 27 October 2016

Published in OR Spectrum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00291-016-0437-z

zbMATH Keywords

robust optimizationstochastic programminguncertainty modelingasset-liability managementinvestment contracts with guarantees

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Reliability, availability, maintenance, inspection in operations research (90B25) Portfolio theory (91G10) Stochastic programming (90C15)

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Cited in

(6)

• A robust asset and liability management model with empirical analysis
• Recent advancements in robust optimization for investment management
• Asset and liability risk management in financial markets
• Robust portfolio optimization: a categorized bibliographic review
• Designing minimum guaranteed return funds
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

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Uses Software

• YALMIP

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