Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis

Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis

Practical portfolio investment problems under uncertainty can be modeled well as multiperiod stochastic programs. However, the numerical optimization methods that need to be used to solve such models seriously limit the level of detail in the uncertainty about future asset prices and returns that ca...

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Veröffentlicht in:Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 44(1998), 1, Seite 31-48
1. Verfasser: Klaassen, Pieter (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 1998
Zugriff auf das übergeordnete Werk:Management Science
Schlagworte:Stochastic Programming Asset/Liability Management Asset Pricing Theory Aggregation Methods Philosophy Economics Business Mathematics
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520 |a Practical portfolio investment problems under uncertainty can be modeled well as multiperiod stochastic programs. However, the numerical optimization methods that need to be used to solve such models seriously limit the level of detail in the uncertainty about future asset prices and returns that can be incorporated. Somewhat surprisingly, the question how this necessarily approximate description of the uncertainty should be constructed has received relatively little attention in the stochastic programming literature. Moreover, many of the descriptions that have been used are not arbitrage-free, and therefore inconsistent with modern financial asset-pricing theory. In this paper we will present aggregation methods that can be used in combination with financial asset-pricing models to obtain a description of the uncertainty that is arbitrage-free, consistent with observed market prices as well as concise enough for a stochastic programming model. Furthermore, we will discuss how these aggregation methods can form the basis of an iterative solution approach. 
540 |a Copyright 1998 Institute for Operations Research and the Management Sciences 
650 4 |a Stochastic Programming 
650 4 |a Asset/Liability Management 
650 4 |a Asset Pricing Theory 
650 4 |a Aggregation Methods 
650 4 |a Philosophy  |x Metaphysics  |x Ontology  |x Atomism  |x Aggregation 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial instruments  |x Financial securities  |x Securities management  |x Securities sales  |x Security prices 
650 4 |a Business  |x Business operations  |x Commerce  |x Pricing  |x Prices  |x Market prices 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Arbitrage 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial investments  |x Investment returns  |x Dividends 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial instruments  |x Financial securities 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial management  |x Asset management 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Finance  |x Financial investments  |x Investors 
650 4 |a Mathematics  |x Pure mathematics  |x Probability theory  |x Stochastic models 
650 4 |a Business  |x Accountancy  |x Financial accounting  |x Financial liabilities  |x Liability management 
655 4 |a research-article 
773 0 8 |i Enthalten in  |t Management Science  |d Institute for Operations Research and the Management Sciences, 1954  |g 44(1998), 1, Seite 31-48  |w (DE-627)320623602  |w (DE-600)2023019-9  |x 15265501  |7 nnns 
773 1 8 |g volume:44  |g year:1998  |g number:1  |g pages:31-48 
856 4 0 |u https://www.jstor.org/stable/2634425  |3 Volltext 
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952 |d 44  |j 1998  |e 1  |h 31-48