The Stochastic Programming Approach to Asset, Liability, and Wealth Management
By T. ZiembaWilliam. 2006
80 citations recorded by the source corpus.
All individuals and institutions face asset/liability management problems on a continuous basis. In this Research Foundation monograph, the author presents an easily readable, up-to-date treatment of asset and wealth management in the presence of liabilities and other portfolio complexities. The approach discussed and recommended is discrete-time, multiperiod stochastic programming. For most practical purposes, such models provide a superior alternative to other approaches, such as mean-variance, simulation, control theory, and continuous-time finance.
Subfields: Demography, Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/4af268588b48980f64ecf6de5d0fc8943585c4fb
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In Demography
In Economics and Econometrics
- Mark H. A. Davis
- Sébastien Lleo
- Fred Espen Benth
- David Hobson *
- Vicky Henderson
- J. Šaltytė Benth
- Atsushi Takeuchi
Citations in the corpus
- Risk-sensitive benchmarked asset management (2008, background): “In a fractional Kelly strategy, a proportion k of the wealth is invested in the log utility optimal portfolio, while the remaining 1 − k is invested in the risk-free asset (for an overview of the properties of fractional Kelly strategies, refer to [13]).”