A STOCHASTIC PROGRAMMING APPROACH TO MANAGING LIQUID ASSET PORTFOLIOS

被引：0

作者：

Raubenheimer, Helgard ^{[1
]}

Kruger, Machiel F. ^{[1
]}

机构：

[1] North West Univ, Ctr Business Math & Informat, ZA-2520 Potchefstroom, South Africa

来源：

KYBERNETIKA | 2010年 / 46卷 / 03期

关键词：

stochastic programming; portfolio optimization; liquid assets; MODELS;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an "optimal" way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period horizon, as well as for flexible risk management decisions, such as reinvesting coupons, at intermediate time steps. We show how our problem closely relates to insurance products with guarantees and utilize this in the formulation. We will discuss our formulation and implementation of a multi-stage stochastic programming model that minimizes the down-side risk of these portfolios. The model is back-tested on real market data over a period of two years

引用

页码：536 / 547

页数：12

共 10 条

[1]

*BESA, 2003, INTR BEASSA ZER COUP

[2]

*BESA, 2003, BEASSA ZER COUP YIEL

[3]

DEMPATER MAH, 2008, CHAPMAN HALL CRC FIN

[4] Managing guarantees - Providing protection but maintraining access to potentially higher returns. [J].