Abstract
Leading international financial firms apply multi-stage stochastic programs for managing asset-liability risk over extended time periods. Prominent examples include: Towers Perrin, State Farm Insurance, Falcon Asset Management, Frank Russell, and Unilever. The asset liability management systems assist pension plan investors, banks, insurance companies and other leveraged institutions. Wealthy individuals can benefit by developing careful risk management strategies. The advantages of integrating assets and liabilities are discussed along with a brief comparison of alternative modeling frameworks. We describe the advantages of high performance computers for solving these difficult nonlinear robust optimization problems.
| Original language | English (US) |
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| Title of host publication | IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr) |
| Publisher | IEEE |
| Pages | 1-13 |
| Number of pages | 13 |
| State | Published - Dec 1 1996 |
| Event | Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr - New York, NY, USA Duration: Mar 24 1996 → Mar 26 1996 |
Other
| Other | Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr |
|---|---|
| City | New York, NY, USA |
| Period | 3/24/96 → 3/26/96 |
All Science Journal Classification (ASJC) codes
- Computer Science(all)
- Economics, Econometrics and Finance(all)
- Engineering(all)