Ferstl, Robert and Weissensteiner, Alex (2011) Asset-liability management under time-varying investment opportunities. JOURNAL OF BANKING & FINANCE, 35 (1). pp. 182-192. ISSN 0378-4266,
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Stochastic linear programming is a suitable numerical approach for solving practical asset-liability management problems. In this paper, we consider a multi-stage setting under time-varying investment opportunities and propose a decomposition of the benefits in dynamic re-allocation and predictability effects. We use a first-order unrestricted vector autoregressive process to model asset returns and state variables and include, in addition to equity returns and dividend-price ratios, Nelson/Siegel parameters to account for the evolution of the yield curve. The objective is to minimize the Conditional Value at Risk of shareholder value, i.e., the difference between the mark-to-market value of (financial) assets and the present value of future liabilities. (C) 2010 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | LIFETIME PORTFOLIO SELECTION; BOND RISK PREMIA; RETURN PREDICTABILITY; CONDITIONAL VALUE; ALLOCATION; PERFORMANCE; UNCERTAINTY; Asset-liability management; Predictability; Stochastic programming; Scenario generation; VAR process |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 01 Jul 2020 05:09 |
| Last Modified: | 01 Jul 2020 05:09 |
| URI: | https://pred.uni-regensburg.de/id/eprint/21605 |
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