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Asset-liability management under time-varying investment opportunities

Ferstl, Robert ; Weissensteiner, Alex



Abstract

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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