A robust asset-liability management framework for investment products with guarantees

DOI10.1007/s00291-016-0437-zzbMath1352.90050OpenAlexW2333004159WikidataQ59474276 ScholiaQ59474276MaRDI QIDQ331783

Ethem Çanakoğlu, Nalân Gülpinar, Dessislava A. Pachamanova

Publication date: 27 October 2016

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-016-0437-z

zbMATH Keywords

stochastic programmingasset-liability managementrobust optimizationuncertainty modelinginvestment contracts with guarantees

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Reliability, availability, maintenance, inspection in operations research (90B25) Portfolio theory (91G10)

Related Items (3)

Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

Uses Software

• YALMIP

Cites Work

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