Liquidity, risk, and return: specifying an objective function for the management of foreign reserves

DOI10.1002/asmb.1921zbMath1286.91094OpenAlexW2106897816MaRDI QIDQ5414503

Yuliya Romanyuk

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/66912

zbMATH Keywords

stochastic programmingasset allocationforeign reserves management

Mathematics Subject Classification ID

Stochastic programming (90C15) Macroeconomic theory (monetary models, models of taxation) (91B64) Portfolio theory (91G10)

Uses Software

• Matlab

Cites Work

• Unnamed Item
• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
• Statistical estimation from an optimization viewpoint
• Strategic foreign reserves risk management: Analytical framework
• A stochastic programming model for asset liability management of a Finnish pension company
• The Innovest Austrian Pension Fund Financial Planning Model InnoALM
• Safety First and the Holding of Assets
• Scenario generation and stochastic programming models for asset liability management

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