IDEAS home Printed from https://ideas.repec.org/r/inm/orinte/v24y1994i1p29-49.html
   My bibliography  Save this item

The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jacek Gondzio & Andreas Grothey, 2007. "Parallel interior-point solver for structured quadratic programs: Application to financial planning problems," Annals of Operations Research, Springer, vol. 152(1), pages 319-339, July.
  2. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
  3. David R. Cariño & David H. Myers & William T. Ziemba, 1998. "Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 450-462, August.
  4. Miloš Kopa & Tomáš Rusý, 2021. "A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision," Annals of Operations Research, Springer, vol. 299(1), pages 241-271, April.
  5. Hua, Yikang & Zhao, Dongfang & Wang, Xin & Li, Xiaopeng, 2019. "Joint infrastructure planning and fleet management for one-way electric car sharing under time-varying uncertain demand," Transportation Research Part B: Methodological, Elsevier, vol. 128(C), pages 185-206.
  6. Pagnoncelli, Bernardo K. & Homem-de-Mello, Tito & Lagos, Guido & Castañeda, Pablo & García, Javier, 2024. "Solving constrained consumption–investment problems by decomposition algorithms," European Journal of Operational Research, Elsevier, vol. 319(1), pages 292-302.
  7. Xiaodong Xu & John R. Birge, 2006. "Equity valuation, production, and financial planning: A stochastic programming approach," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 641-655, October.
  8. Berkelaar, A.B. & Hoek, H. & Lucas, A., 1999. "Arbitrage and sampling uncertainty in financial stochastic programming models," Econometric Institute Research Papers EI 9919-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Amy V. Puelz, 2002. "A Stochastic Convergence Model for Portfolio Selection," Operations Research, INFORMS, vol. 50(3), pages 462-476, June.
  10. Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
  11. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  12. Maram Alwohaibi & Diana Roman, 2018. "ALM models based on second order stochastic dominance," Computational Management Science, Springer, vol. 15(2), pages 187-211, June.
  13. Arjen Siegmann & André Lucas, 2005. "Discrete-Time Financial Planning Models Under Loss-Averse Preferences," Operations Research, INFORMS, vol. 53(3), pages 403-414, June.
  14. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
  15. Yuliya Romanyuk, 2010. "Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves," Discussion Papers 10-13, Bank of Canada.
  16. Lee, Jinkyu & Bae, Sanghyeon & Kim, Woo Chang & Lee, Yongjae, 2023. "Value function gradient learning for large-scale multistage stochastic programming problems," European Journal of Operational Research, Elsevier, vol. 308(1), pages 321-335.
  17. Boender, Guus C. E., 1997. "A hybrid simulation/optimisation scenario model for asset/liability management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 126-135, May.
  18. Lorenzo Reus & Guillermo Alexander Sepúlveda-Hurtado, 2023. "Foreign exchange trading and management with the stochastic dual dynamic programming method," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
  19. David R. Cariño & William T. Ziemba, 1998. "Formulation of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 433-449, August.
  20. John M. Mulvey & Gordon Gould & Clive Morgan, 2000. "An Asset and Liability Management System for Towers Perrin-Tillinghast," Interfaces, INFORMS, vol. 30(1), pages 96-114, February.
  21. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo, 2000. "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach," University of California at Santa Barbara, Economics Working Paper Series qt9ph6b5gp, Department of Economics, UC Santa Barbara.
  22. Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343, arXiv.org.
  23. Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
  24. Arjan Berkelaar & Roy Kouwenberg, 2011. "A Liability-Relative Drawdown Approach to Pension Asset Liability Management," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 14, pages 352-382, Palgrave Macmillan.
  25. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, University Library of Munich, Germany.
  26. Andrea Beltratti & Andrea Consiglio & Stavros Zenios, 1999. "Scenario modeling for the management ofinternational bond portfolios," Annals of Operations Research, Springer, vol. 85(0), pages 227-247, January.
  27. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," European Journal of Operational Research, Elsevier, vol. 101(2), pages 374-392, September.
  28. Huang, Hong-Chih & Lee, Yung-Tsung, 2020. "A study of the differences among representative investment strategies," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 131-149.
  29. Alaeddine Faleh, 2011. "Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné," Working Papers hal-00561965, HAL.
  30. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
  31. Andrea Consiglio & Stavros A. Zenios, 1999. "Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models," Operations Research, INFORMS, vol. 47(2), pages 195-208, April.
  32. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.
  33. Sebastiano Vitali & Vittorio Moriggia, 2021. "Pension fund management with investment certificates and stochastic dominance," Annals of Operations Research, Springer, vol. 299(1), pages 273-292, April.
  34. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité," Post-Print hal-00530868, HAL.
  35. Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 191-211, May.
  36. repec:rnp:ppaper:r90227 is not listed on IDEAS
  37. Lucian Gaban & Ionut - Marius Rus & Alin Fetita & Liviu Bechis, 2017. "Assets And Liabilities Management During The Crisis - A Study On Banks In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 529-537, July.
  38. Peter C. Bell & Chris K. Anderson & Stephen P. Kaiser, 2003. "Strategic Operations Research and the Edelman Prize Finalist Applications 1989--1998," Operations Research, INFORMS, vol. 51(1), pages 17-31, February.
  39. Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2010. "No-arbitrage conditions, scenario trees, and multi-asset financial optimization," European Journal of Operational Research, Elsevier, vol. 206(3), pages 609-613, November.
  40. Giovanni Pantuso & Trine K. Boomsma, 2020. "On the number of stages in multistage stochastic programs," Annals of Operations Research, Springer, vol. 292(2), pages 581-603, September.
  41. Andy Philpott & Vitor de Matos & Erlon Finardi, 2013. "On Solving Multistage Stochastic Programs with Coherent Risk Measures," Operations Research, INFORMS, vol. 61(4), pages 957-970, August.
  42. Duarte Jr, A. M., 2000. "Fast Computation of Efficient Portfolios," Finance Lab Working Papers flwp_32, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  43. Pieter Klaassen, 1998. "Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis," Management Science, INFORMS, vol. 44(1), pages 31-48, January.
  44. Klaassen, Pieter, 1997. "Solving stochastic programming models for asset/liability management using iterative disaggregation," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  45. Birge, John R. & Júdice, Pedro, 2013. "Long-term bank balance sheet management: Estimation and simulation of risk-factors," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4711-4720.
  46. Suvrajeet Sen & Julia L. Higle, 1999. "An Introductory Tutorial on Stochastic Linear Programming Models," Interfaces, INFORMS, vol. 29(2), pages 33-61, April.
  47. John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling, 2008. "OR PRACTICE---Assisting Defined-Benefit Pension Plans," Operations Research, INFORMS, vol. 56(5), pages 1066-1078, October.
  48. C A Poojari & C Lucas & G Mitra, 2008. "Robust solutions and risk measures for a supply chain planning problem under uncertainty," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(1), pages 2-12, January.
  49. Moriggia, Vittorio & Kopa, Miloš & Vitali, Sebastiano, 2019. "Pension fund management with hedging derivatives, stochastic dominance and nodal contamination," Omega, Elsevier, vol. 87(C), pages 127-141.
  50. Elena Katok & William Tarantino & Terry P. Harrison, 2003. "Investment in production resource flexibility: An empirical investigation of methods for planning under uncertainty," Naval Research Logistics (NRL), John Wiley & Sons, vol. 50(2), pages 105-129, March.
  51. Marco Di Francesco & Roberta Simonella, 2023. "A stochastic Asset Liability Management model for life insurance companies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 61-94, March.
  52. Cociuba Mihail Ioan, 2015. "Did The Economic Crises Influence The Structure Of Assets-Liabilities In Banks?," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 407-415, December.
  53. Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri, 2018. "Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming," Computational Management Science, Springer, vol. 15(3), pages 599-632, October.
  54. Petrus Strydom, 2017. "Funding optimization for a bank integrating credit and liquidity risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-1.
  55. Oguzsoy, Cemal Berk & Guven, Sibel, 1997. "Bank asset and liability management under uncertainty," European Journal of Operational Research, Elsevier, vol. 102(3), pages 575-600, November.
  56. Júnior, Antonio Marcos Duarte, 1997. "A Framework for the Active Management of a Global Currency Fund," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(2), November.
  57. Lucas, André, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  58. Najafi, Amir Abbas & Mushakhian, Siamak, 2015. "Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 445-458.
  59. Alois Geyer & William T. Ziemba, 2008. "The Innovest Austrian Pension Fund Financial Planning Model InnoALM," Operations Research, INFORMS, vol. 56(4), pages 797-810, August.
  60. Li, S. X., 1995. "An insurance and investment portfolio model using chance constrained programming," Omega, Elsevier, vol. 23(5), pages 577-585, October.
  61. Julia Higle & Suvrajeet Sen, 2006. "Multistage stochastic convex programs: Duality and its implications," Annals of Operations Research, Springer, vol. 142(1), pages 129-146, February.
  62. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
  63. Mitra, Sovan & Lim, Sungmook & Karathanasopoulos, Andreas, 2019. "Regression based scenario generation: Applications for performance management," Operations Research Perspectives, Elsevier, vol. 6(C).
  64. K. A. Ariyawansa & Andrew J. Felt, 2004. "On a New Collection of Stochastic Linear Programming Test Problems," INFORMS Journal on Computing, INFORMS, vol. 16(3), pages 291-299, August.
  65. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," Serie Research Memoranda 0011, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  66. Sebastiano Vitali & Ruth Domínguez & Vittorio Moriggia, 2021. "Comparing stage-scenario with nodal formulation for multistage stochastic problems," 4OR, Springer, vol. 19(4), pages 613-631, December.
  67. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?," Post-Print hal-00433037, HAL.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.