出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper reviews some of the stochastic programming(SP)frameworks that are useful in applications to asset-liability management(ALM).Two such frameworks include recourse models and SP with decision rules.Recent advances also provide a representation for the Conditional Value-at-Risk risk measure that can be easily optimized in SP.Uncertainty in ALM stochas?tic programs is represented through discrete scenarios that are often generated through time-series methods.Sophisticated methods,such as those incorporating stable distributions,are needed to capture typical characteristics of financial data.
