Computation of feasible portfolio control strategies for an insurance company using a discrete time asset/liability model

DOI10.1016/J.MCM.2003.07.013zbMath1112.91034OpenAlexW2042230693MaRDI QIDQ1764995

Xianqiang Yang

Publication date: 22 February 2005

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2003.07.013

zbMATH Keywords

Discrete time asset/liability modelsDynamic financial analysisFeasible portfolio controlInvestment policies with a guaranteed minimum rate of return

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

Related Items (1)

A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry

Cites Work

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• Open loop strategies for the control of a disk rolling on a horizontal plane
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Feasible Controller Design for Stochastic Systems
• Computation of feasible command strategies for the navigation of a ship in a narrow zigzag channel

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