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Asset liability management using stochastic programming

By M Pirbhai, G Mitra and T Kyriakis


This chapter sets out to explain an important financial planning model\ud called asset liability management (ALM); in particular, it discusses why in\ud practice, optimum planning models are used. The ability to build an integrated\ud approach that combines liability models with that of asset allocation\ud decisions has proved to be desirable and more efficient in that it can lead to\ud better ALM decisions. The role of uncertainty and quantification of risk in\ud these planning models is considered

Publisher: The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University
Year: 2003
OAI identifier:

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