Mean-variance asset-liability management: Cointegrated assets and insurance liability.
Mei Choi ChiuHoi Ying WongPublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- asset liability management
- risk management
- portfolio selection
- financial markets
- optimal portfolio
- asset allocation
- financial institutions
- stochastic programming
- investment strategies
- portfolio optimization
- linear program
- investment decisions
- utility function
- multistage
- quasi linear
- stock exchange
- evolutionary algorithm
- fraud detection
- decision support system
- software projects
- management system