Asset-liability management – Optimization Online

Asset liability management under sequential stochastic dominance constraints

Published: 2023/11/24

Finance and Economics, Stochastic Programming Asset-liability management, Decomposition methods, multistage stochastic programming, stochastic dominance, time consistency

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Worst-Case Conditional Value at Risk for Asset Liability Management: A Novel Framework for General Loss Functions

Published: 2023/05/08

Alireza Ghahtarani

Ahmed Saif

Alireza Ghasemi

Applications - OR and Management Sciences, Finance and Economics, Robust Optimization Asset-liability management, General loss function, Uncertainty modelling, Worst-case Conditional Value at Risk, Worst-case lower partial moment

Asset-liability management (ALM) is a challenging task faced by pension funds due to the uncertain nature of future asset returns and interest rates. To address this challenge, this paper presents a new mathematical model that uses aWorst-case Conditional Value-at-Risk (WCVaR) constraint to ensure that the funding ratio remains above a regulator-mandated threshold with a high … Read more