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A robust optimization approach to asset-liability management under time-varying investment opportunities
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Gulpinar, Nalan and Pachamanova, Dessislava A. (2013) A robust optimization approach to asset-liability management under time-varying investment opportunities. Journal of Banking & Finance, Volume 37 (Number 6). pp. 2031-2041. doi:10.1016/j.jbankfin.2013.01.025 ISSN 0378-4266.
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Official URL: http://dx.doi.org/10.1016/j.jbankfin.2013.01.025
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 stochastic programming approach.
| Item Type: | Journal Article | ||||
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Journal of Banking & Finance | ||||
| Publisher: | Elsevier Science BV | ||||
| ISSN: | 0378-4266 | ||||
| Official Date: | 2013 | ||||
| Dates: |
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| Volume: | Volume 37 | ||||
| Number: | Number 6 | ||||
| Page Range: | pp. 2031-2041 | ||||
| DOI: | 10.1016/j.jbankfin.2013.01.025 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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