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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Other URL: http://dx.doi.org/10.1016/j.jbankfin.2010.07.028
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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| Item type: | Article | ||||||
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| 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 | ||||||
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| Classification: |
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| Keywords: | Asset-liability management; Predictability; Stochastic programming; Scenario generation; VAR process | ||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||
| Status: | Published | ||||||
| Refereed: | Yes, this version has been refereed | ||||||
| Created at the University of Regensburg: | Yes | ||||||
| Item ID: | 15979 |
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