Asset and Liability Management

Mark H. A. Davis and Sebastien Lleo

Chapter 4 in Risk-Sensitive Investment Management, 2014, pp 57-87 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we consider the situation of an investor who manages a portfolio of assets partly funded by an external liability. This is the typical case for banks, insurance companies and hedge funds. Asset and liabilitymanagement (ALM) problems have generated a substantial literature and a diversity of approach such as stochastic control (see Rudolf and Ziemba (2004), and references therein), stochastic programming (Ziemba and Mulvey, 1998; Ziemba, 2003) and single-period optimization (Scherer, 2005)…

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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