A robust optimization approach to asset-liability management under time-varying investment opportunities

Nalan Gülpinar and Dessislava Pachamanova

Journal of Banking & Finance, 2013, vol. 37, issue 6, 2031-2041

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.

Keywords: Robust optimization; Asset-liability management; Computational tractability (search for similar items in EconPapers)
JEL-codes: C44 C61 G11 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:6:p:2031-2041

DOI: 10.1016/j.jbankfin.2013.01.025

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