A robust asset-liability management framework for investment products with guarantees
DOI10.1007/S00291-016-0437-ZzbMATH Open1352.90050DBLPjournals/ors/GulpinarPC16OpenAlexW2333004159WikidataQ59474276 ScholiaQ59474276MaRDI QIDQ331783FDOQ331783
Authors: Ethem Çanakoğlu, Nalân Gülpinar, Dessislava A. Pachamanova 
Publication date: 27 October 2016
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-016-0437-z
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robust optimizationstochastic programminguncertainty modelingasset-liability managementinvestment contracts with guarantees
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)
- Designing minimum guaranteed return funds
- Recent advancements in robust optimization for investment management
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Asset and liability risk management in financial markets
- A robust asset and liability management model with empirical analysis
- Robust portfolio optimization: a categorized bibliographic review
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