Formulation of the Russell-Yasuda Kasai Financial Planning Model

David R. Cariño and William T. Ziemba
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David R. Cariño: Frank Russell Australia, Sydney, Australia
William T. Ziemba: University of British Columbia, Vancouver, British Columbia, Canada

Operations Research, 1998, vol. 46, issue 4, 433-449

Abstract: This paper describes the formulation of the Russell-Yasuda Kasai financial planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm's assets over time discussed in Cariño et al. (1994, 1998, respectively). The multistage stochastic linear program incorporates Yasuda Kasai's asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximize expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.

Keywords: Finance; management; asset and liability; Financial institutions; insurance; Japanese; Property and casualty; programming; stochastic; multiperiod; linear (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:46:y:1998:i:4:p:433-449

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