Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007

ISSN: 1872-0978

doi: 10.1016/S1872-0978(06)02016-3

Chapter 16 Integrated Risk Control Using Stochastic Programming ALM Models for Money Management

N.C.P. Edirisinghe

Department of Statistics, Operations, and Management Science, College of Business Administration, University of Tennessee, Knoxville, TN 37996, USA

E-mail address:chanaka@utk.edu,

Abstract

A multistage stochastic programming modeling based approach is developed for asset and liability management for fund managers. Managing a fund of investments in a large pool of possible instruments, such as stocks, requires sophisticated analytical capability both in terms of selecting the pool and also in maintaining ...

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