Add to ORKGIn this paper, we explore the liability funding strategy of a passive portfolio management - cash matching. Using a cash matching technique which allow for reinvesting surpluses, we constructed a bond portfolio from a security universe of plain vanilla, investment grade bonds
Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment...
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhan...
Asset liability management is a key aspect of the operation of all financial institutions. In this e...
In this paper, we explore the liability funding strategy of a passive portfolio management - cash ma...
We investigate a liability driven methodology for determining optimal asset mixes. We study the effe...
Many institutions issue debt in both short-term markets, which implies frequent rebalancing, and lon...
Shifts in the term structure of interest rates are the major sources of risk to fixed-income portfol...
Explores the technique of matching asset and liability cash flows, including its applicability to th...
The method chosen by CADES to steer the process of paying down the social security debt it has assum...
We present some rudimentary concepts on asset/liability management and describe an approach to asset...
In this paper, we consider an intertemporal portfolio problem in the presence of liability constrain...
The ongoing economic crisis has profoundly changed the industry of asset manage-ment by putting risk...
Summarization: Nowadays, because of the uncertainty and risk which exists due to the integrating fin...
A key issue all investors must deal with in order to efficiently allocate their assets to private ma...
The objective of most US institutions with assets to invest is to fund some sort of liability, as is...
Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment...
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhan...
Asset liability management is a key aspect of the operation of all financial institutions. In this e...
In this paper, we explore the liability funding strategy of a passive portfolio management - cash ma...
We investigate a liability driven methodology for determining optimal asset mixes. We study the effe...
Many institutions issue debt in both short-term markets, which implies frequent rebalancing, and lon...
Shifts in the term structure of interest rates are the major sources of risk to fixed-income portfol...
Explores the technique of matching asset and liability cash flows, including its applicability to th...
The method chosen by CADES to steer the process of paying down the social security debt it has assum...
We present some rudimentary concepts on asset/liability management and describe an approach to asset...
In this paper, we consider an intertemporal portfolio problem in the presence of liability constrain...
The ongoing economic crisis has profoundly changed the industry of asset manage-ment by putting risk...
Summarization: Nowadays, because of the uncertainty and risk which exists due to the integrating fin...
A key issue all investors must deal with in order to efficiently allocate their assets to private ma...
The objective of most US institutions with assets to invest is to fund some sort of liability, as is...
Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment...
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhan...
Asset liability management is a key aspect of the operation of all financial institutions. In this e...