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Asset and Liability Management

In: RISK-SENSITIVE INVESTMENT MANAGEMENT

Author

Listed:
  • Mark H. A. Davis
  • Sébastien Lleo

Abstract

In this chapter, we consider the situation of an investor who manages a portfolio of assets partly funded by an external liability. This is the typical case for banks, insurance companies and hedge funds. Asset and liabilitymanagement (ALM) problems have generated a substantial literature and a diversity of approach such as stochastic control (see Rudolf and Ziemba (2004), and references therein), stochastic programming (Ziemba and Mulvey, 1998; Ziemba, 2003) and single-period optimization (Scherer, 2005)…

Suggested Citation

  • Mark H. A. Davis & Sébastien Lleo, 2014. "Asset and Liability Management," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 4, pages 57-87, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578059_0004
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    Cited by:

    1. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
    2. Jan Obłój & Thaleia Zariphopoulou, 2021. "In memoriam: Mark H. A. Davis and his contributions to mathematical finance," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1099-1110, October.

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