Matches in SemOpenAlex for { <https://semopenalex.org/work/W2487672396> ?p ?o ?g. }
- W2487672396 endingPage "546" @default.
- W2487672396 startingPage "509" @default.
- W2487672396 abstract "Asset and liability management is the simultaneous consideration of assets and liabilities in strategic investment planning. In this chapter, asset and liability management models that use stochastic programming framework are reviewed. Most of these models describe the financial uncertainty by a set of representative scenarios. We propose to replace the classical assumption of Gaussian returns in the scenario generation with the stable Paretian distribution, which can capture the leptokurtic nature of financial data. A multistage stochastic asset allocation model with decision rules is analyzed. Optimal asset allocation under the Gaussian and stable Paretian returns are compared. Our computational results suggest that asset allocation may be up to 20% different depending on the utility function and the risk aversion level of the investor. Certainty equivalent return can be increased up to 0.13% and utility can be improved up to 0.72% by switching to the stable Paretian model." @default.
- W2487672396 created "2016-08-23" @default.
- W2487672396 creator A5002503825 @default.
- W2487672396 creator A5016612974 @default.
- W2487672396 creator A5059352111 @default.
- W2487672396 date "2003-01-01" @default.
- W2487672396 modified "2023-09-25" @default.
- W2487672396 title "Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails" @default.
- W2487672396 cites W1576326745 @default.
- W2487672396 cites W1762810071 @default.
- W2487672396 cites W1810893666 @default.
- W2487672396 cites W1969007958 @default.
- W2487672396 cites W1973576099 @default.
- W2487672396 cites W1978855385 @default.
- W2487672396 cites W1979575715 @default.
- W2487672396 cites W1981854401 @default.
- W2487672396 cites W1983031903 @default.
- W2487672396 cites W1984697146 @default.
- W2487672396 cites W1988120963 @default.
- W2487672396 cites W1990549299 @default.
- W2487672396 cites W1997477676 @default.
- W2487672396 cites W1997482018 @default.
- W2487672396 cites W1997722192 @default.
- W2487672396 cites W2013640181 @default.
- W2487672396 cites W2019459021 @default.
- W2487672396 cites W2021824814 @default.
- W2487672396 cites W202521032 @default.
- W2487672396 cites W2027041028 @default.
- W2487672396 cites W2028504490 @default.
- W2487672396 cites W2033174532 @default.
- W2487672396 cites W2037051986 @default.
- W2487672396 cites W2038016952 @default.
- W2487672396 cites W2043633286 @default.
- W2487672396 cites W2046772481 @default.
- W2487672396 cites W2048991019 @default.
- W2487672396 cites W2051106635 @default.
- W2487672396 cites W2057207686 @default.
- W2487672396 cites W2057722956 @default.
- W2487672396 cites W2067184061 @default.
- W2487672396 cites W2068745433 @default.
- W2487672396 cites W2076007320 @default.
- W2487672396 cites W2076209196 @default.
- W2487672396 cites W2090326947 @default.
- W2487672396 cites W2090637028 @default.
- W2487672396 cites W2092832156 @default.
- W2487672396 cites W2092966136 @default.
- W2487672396 cites W2094032970 @default.
- W2487672396 cites W2095736676 @default.
- W2487672396 cites W2108016480 @default.
- W2487672396 cites W2110393192 @default.
- W2487672396 cites W2111642997 @default.
- W2487672396 cites W2114463662 @default.
- W2487672396 cites W2118471886 @default.
- W2487672396 cites W2127331687 @default.
- W2487672396 cites W2129587297 @default.
- W2487672396 cites W2130359120 @default.
- W2487672396 cites W2138492203 @default.
- W2487672396 cites W2138959811 @default.
- W2487672396 cites W2148363893 @default.
- W2487672396 cites W2154179876 @default.
- W2487672396 cites W2161197409 @default.
- W2487672396 cites W2164883547 @default.
- W2487672396 cites W2167402844 @default.
- W2487672396 cites W2171185835 @default.
- W2487672396 cites W2179446482 @default.
- W2487672396 cites W2277352315 @default.
- W2487672396 cites W2745291548 @default.
- W2487672396 cites W2911561799 @default.
- W2487672396 cites W3027820740 @default.
- W2487672396 cites W3122056477 @default.
- W2487672396 cites W3122275628 @default.
- W2487672396 cites W3123320210 @default.
- W2487672396 cites W3124485385 @default.
- W2487672396 cites W3124488797 @default.
- W2487672396 cites W2768885335 @default.
- W2487672396 cites W282446455 @default.
- W2487672396 doi "https://doi.org/10.1016/b978-044450896-6.50015-7" @default.
- W2487672396 hasPublicationYear "2003" @default.
- W2487672396 type Work @default.
- W2487672396 sameAs 2487672396 @default.
- W2487672396 citedByCount "2" @default.
- W2487672396 crossrefType "book-chapter" @default.
- W2487672396 hasAuthorship W2487672396A5002503825 @default.
- W2487672396 hasAuthorship W2487672396A5016612974 @default.
- W2487672396 hasAuthorship W2487672396A5059352111 @default.
- W2487672396 hasConcept C10138342 @default.
- W2487672396 hasConcept C105795698 @default.
- W2487672396 hasConcept C117219021 @default.
- W2487672396 hasConcept C121332964 @default.
- W2487672396 hasConcept C139819358 @default.
- W2487672396 hasConcept C149782125 @default.
- W2487672396 hasConcept C162118730 @default.
- W2487672396 hasConcept C162324750 @default.
- W2487672396 hasConcept C163716315 @default.
- W2487672396 hasConcept C166963901 @default.
- W2487672396 hasConcept C2776517139 @default.
- W2487672396 hasConcept C2777834853 @default.
- W2487672396 hasConcept C2780821815 @default.