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Asset-liability management under time-varying investment opportunities

Ferstl, Robert and Weissensteiner, Alex (2011) Asset-liability management under time-varying investment opportunities. Journal of Banking & Finance 35 (1), pp. 182-192.

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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 ...


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Item Type:Article
Date:January 2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
C61Journal of Economics Literature Classification
G11Journal of Economics Literature Classification
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
Deposited On:21 Jul 2010 11:18
Last Modified:25 Oct 2010 12:14
Item ID:15979
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