IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-0-230-30723-0_19.html
   My bibliography  Save this book chapter

Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming

In: Asset and Liability Management Handbook

Author

Listed:
  • Robert Ferstl
  • Alexander Weissensteiner

Abstract

Baumol (1952) applies well-known results from inventory control problems to treasury management, in which an individual facing a transaction demand for cash chooses to hold his liquid funds partly in cash and partly in bonds. An analytical solution is derived under very restrictive assumptions. To focus on more practically relevant settings, dynamic stochastic programming techniques started to make their way into applications in quantitative asset management. Early approaches using linear programming for financial planning tasks with multiple assets and stages are proposed by Charnes et al (1959); Chambers and Charnes (1961); Cohen and Hammer (1967). These models still use a determin-istic framework. Since then many extensions were proposed. Dempster et al (2009) give an extensive overview of the state-of-the-art method s for financial planning under uncertainty.

Suggested Citation

  • Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-30723-0_19
    DOI: 10.1057/9780230307230_19
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-0-230-30723-0_19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.