Add to ORKGShifts in the term structure of interest rates are the major sources of risk to fixed-income portfolios. Two important portfolio investment strategies in asset/liability management are cash-flow matching and immunization. The cash-flow matching strategy can be enhanced by allowing cash carry-forward and borrowing from future surpluses. Although the mathematical program thus formulated is nonlinear, we show that it can be linearized and solved by standard techniques. The algorithms can easily be implemented on a computer. I
Immunization is a well-known fixed-income strategy to lock in a target rate of return over a known i...
In this paper, we explore the liability funding strategy of a passive portfolio management - cash ma...
Recently a number of mathematical programming models have been developed to assist banks in their po...
Explores the technique of matching asset and liability cash flows, including its applicability to th...
Drawing on recent developments in discrete time fixed income options theory, we propose a stochastic...
In a previous MITACS project in collaboration with Addenda Capital, two basic liability matching str...
The replicating portfolio approach is a well-established approach carried out by many life insurance...
We consider a cash management problem where a company with a given financial endowment and given fut...
Since the 70's both the volatility and level of interest rates have risen. This has lead to an incre...
This dissertation has two main objectives: first, to develop efficient algorithms for the solution o...
A financial world is considered where an agent invests in a set of assets and partially funds the in...
Collateralized Debt Obligations are not as widely used nowadays as they were before 2007 Subprime cr...
Immunization is a well-known fixed-income strategy to lock in a target rate of return over a known i...
In this paper, we explore the liability funding strategy of a passive portfolio management - cash ma...
Recently a number of mathematical programming models have been developed to assist banks in their po...
Explores the technique of matching asset and liability cash flows, including its applicability to th...
Drawing on recent developments in discrete time fixed income options theory, we propose a stochastic...
In a previous MITACS project in collaboration with Addenda Capital, two basic liability matching str...
The replicating portfolio approach is a well-established approach carried out by many life insurance...
We consider a cash management problem where a company with a given financial endowment and given fut...
Since the 70's both the volatility and level of interest rates have risen. This has lead to an incre...
This dissertation has two main objectives: first, to develop efficient algorithms for the solution o...
A financial world is considered where an agent invests in a set of assets and partially funds the in...
Collateralized Debt Obligations are not as widely used nowadays as they were before 2007 Subprime cr...
Immunization is a well-known fixed-income strategy to lock in a target rate of return over a known i...
In this paper, we explore the liability funding strategy of a passive portfolio management - cash ma...
Recently a number of mathematical programming models have been developed to assist banks in their po...