Xi Yang

Asset-Liability Management Modelling with Risk Control by Stochastic Dominance

  • Jacek Gondzio
  • Andreas Grothey
  • Xi Yang
    • Categories Finance and Economics, Parallel Algorithms, Stochastic Programming Tags , , ,

    An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is presented in this paper. The basic model involves multiperiod decisions (portfolio rebalancing) and deals with the usual uncertainty of investment returns and future liabilities. Therefore it is well-suited to a stochastic programming approach. A stochastic dominance concept is applied to measure … Read more

    Operations Risk Management by Planning Optimally the Qualified Workforce Capacity

  • Emmanuel Fragnière
  • Jacek Gondzio
  • Xi Yang
    • Categories Applications - OR and Management Sciences, Finance and Economics, Stochastic Programming Tags ,

    Operational risks are defined as risks of human origin. Unlike financial risks that can be handled in a financial manner (e.g. insurances, savings, derivatives), the treatment of operational risks calls for a “managerial approach”. Consequently, we propose a new way of dealing with operational risk, which relies on the well known aggregate planning model. To … Read more