Monday, 11:00 - 11:25 h, Room: H 3027


Nalan Gulpinar
Robust investment decisions for asset liability management

Coauthors: Ethem Canakoglu, Dessislava Pachamanova


In this paper, we present stochastic and robust models for multi-period Asset Liability Management (ALM) problem. ALM involves the management of risks that arise due to mismatches between the assets and liabilities. Stochastic optimization models focus on finding optimal investment decisions over a set of scenarios for the future returns on the assets and the liabilities of the company. Robust approach is introduced to minimize the risks that arise due to the estimation errors of uncertainty on asset returns and liabilities. Computational experiments using real data are presented to compare the performance of different formalizations of the problem.


Talk 2 of the invited session Mon.1.H 3027
"Applications of stochastic programming to finance and insurance" [...]
Cluster 7
"Finance & economics" [...]


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