Since 2014
ASSET-LIABILITY MANAGEMENT MODELS IN DECISION MAKING
Journal of Business and Finance
View Archive Info| Field | Value | |
| Title |
ASSET-LIABILITY MANAGEMENT MODELS IN DECISION MAKING
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| Creator |
Bajram, Narela
Can, Mehmet |
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| Subject |
Asset-liability management model (ALM), linear and nonlinear utility function, portfolio optimization and multi period asset allocation
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| Description |
This paper uses an asset-liability management model to solve multi-period investment problems. The model aims to maximize the overall revenue and deal with uncertainties as well as with risks. The assumption of a linear utility function may lead to allocation of the wealth to one asset. This paper sheds some light on this issue by showing that the linear function can be a risky choice. For this purpose to solve multi-period investment problem we used two ways: first, using a piecewise linear function; and second using a non-linear utility function. The results show that the non-linear function outperform the piecewise linear function and generates better asset allocation. The problem is formulated by using the Wolfram Mathematical Programming System.
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| Publisher |
Journal of Business and Finance
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| Contributor |
—
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| Date |
2013-06-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.escijournals.net/index.php/JBF/article/view/31
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| Source |
Journal of Business and Finance; Vol 1, No 1 (2013): J. Bus. Financ.; 11-16
2305-1825 2308-7714 |
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| Language |
eng
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| Relation |
http://www.escijournals.net/index.php/JBF/article/view/31/131
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| Rights |
Copyright (c) 2014 Journal of Business and Finance
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