Go to content
UR Home

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.

Full text not available from this repository.

at publisher (via DOI)

Other URL: http://dx.doi.org/10.1016/j.jbankfin.2010.07.028


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 ...


Export bibliographical data

Item type:Article
Date:January 2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Interdisciplinary Subject Network: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
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:15979
Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons