Ferstl, Robert and Weissensteiner, Alex (2011) Asset-liability management under time-varying investment opportunities. Journal of Banking & Finance 35 (1), pp. 182-192.
Full text not available from this repository.
Stochastic linear programming is a suitable numerical approach for solving practical asset-liability management problems. In this paper, we consider a multi-stage setting under time-varying investment opportunities and propose a decomposition of the benefits in dynamic re-allocation and predictability effects. We use a first-order unrestricted vector autoregressive process to model asset returns and state variables and include, in addition to equity returns and dividend-price ratios, Nelson/Siegel parameters to account for the evolution of the yield curve. The objective is to minimize the Conditional Value at Risk of shareholder value, i.e., the difference between the mark-to-market value of (financial) assets and the present value of future liabilities.
|Institutions:||Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)|
|Research groups and research centres:||Immobilien- und Kapitalmärkte|
|Keywords:||Asset-liability management; Predictability; Stochastic programming; Scenario generation; VAR process|
|Subjects:||300 Social sciences > 330 Economics|
|Refereed:||Yes, this version has been refereed|
|Created at the University of Regensburg:||Yes|
|Owner:||Dr. Robert Ferstl|
|Deposited On:||21 Jul 2010 11:18|
|Last Modified:||25 Oct 2010 12:14|