A robust optimization approach to asset-liability management under time-varying investment opportunities
Abstract
This paper presents an asset liability management model based on robust optimization techniques. The model explicitly takes into consideration the time-varying aspect of investment opportunities. The emphasis of the proposed approach is on computational tractability and practical appeal. Computational studies with real market data study the performance of robust-optimization-based strategies, and compare it to the performance of the classical...
Paper Details
Title
A robust optimization approach to asset-liability management under time-varying investment opportunities
Published Date
Jun 1, 2013
Volume
37
Issue
6
Pages
2031 - 2041
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