Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007
Chapter 16 Integrated Risk Control Using Stochastic Programming ALM Models for Money Management
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 ...