Solving ALM problems via sequential stochastic programming

DOI10.1080/14697680701272575MaRDI QIDQ3593605zbMATH OpenOpenAlexFDO

Authors Florian Herzog, Gabriel Dondi, Simon Keel, Lorenz M. Schumani, Hans P. Geering

Publication date 23 July 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701272575

zbMATH Keywords

dynamic programmingstochastic programmingmulti-period portfolio optimizationasset and liability management

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• A heuristic for moment-matching scenario generation
• Algorithm 659
• Coherent measures of risk
• Dynamic coherent risk measures
• EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Financial planning via multi-stage stochastic optimization.
• Formulation of the Russell-Yasuda Kasai financial planning model
• Scenarios for multistage stochastic programs
• Stochastic optimal control. The discrete time case
• Strategic asset allocation
• Variance reduction in sample approximations of stochastic programs

Cited in

(6)

• Dynamic hedging of basket options under proportional transaction costs using receding horizon control
• Designing minimum guaranteed return funds
• ALM models based on second order stochastic dominance
• Designing minimum guaranteed return funds
• A stochastic receding horizon control approach to constrained index tracking
• Decision model and analysis for investment interest expense deduction and allocation

Describes a project that uses

Uses Software

• QRM

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