Handbook of Heavy Tailed Distributions in Finance

Chapter 13

Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails

Yesim Tokat    Department of Economics, University of California, Santa Barbara, USA

Svetlozar T. Rachev [e-mail]    Department of Statistics and Applied Probability, University of California, Santa Barbara, USA Institute of Statistics and Mathematical Economics, University of Karlsruhe, Germany

Eduardo S. Schwartz    Anderson School of Management, University of California, Los Angeles, USA

Abstract

Asset and liability management is the simultaneous consideration of assets and liabilities in strategic investment planning. In this chapter, asset and liability management models that use stochastic programming framework are reviewed. ...