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Advanced Search Results For "ASSET-liability management"

1 - 10 of 4,351 results for
 "ASSET-liability management"
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Optimal chance-constrained pension fund management through dynamic stochastic control.

Publication Type:Academic Journal

Source(s):OR Spectrum. Sep2022, Vol. 44 Issue 3, p967-1007. 41p.

Abstract:We apply a dynamic stochastic control (DSC) approach based on an open-loop linear feedback policy to a classical asset-liability management problem as the one faced by a defined-benefit pension fund (PF) manager. We assume a PF manager seeking an optim...

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Side‐by‐side management of mutual funds and actively managed exchange traded funds.

Publication Type:Academic Journal

Source(s):Financial Review. Aug2022, Vol. 57 Issue 3, p533-557. 25p. 12 Charts.

Abstract:We document the recent rise in the side‐by‐side (SBS) management of mutual funds and actively managed ETFs (AMETFs). Although these funds are run in a SBS manner, only 21% share an investment objective code. This relationship is started by families wit...

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Robust optimal asset-liability management with penalization on ambiguity.

Publication Type:Academic Journal

Source(s):Journal of Industrial & Management Optimization. Sep2022, Vol. 18 Issue 5, p3461-3485. 25p.

Abstract:In this paper, we study the robust optimal asset- problems for an ambiguity-averse investor, who does not have perfect information in the drift terms of the risky asset and liability processes. Two different kinds of objectives are considered: (i) Maxi...

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Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements.

Publication Type:Academic Journal

Source(s):Communications in Statistics: Theory & Methods. 2022, Vol. 51 Issue 13, p4296-4312. 17p.

Abstract:This paper considers a mean-variance asset-liability management problem in which short-selling is allowed, but accompanied by margin requirements. This is a mean-variance problem with a non linear state process. We derive a sufficient condition and a n...

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Mean-variance asset-liability management with inside information.

Publication Type:Academic Journal

Source(s):Communications in Statistics: Theory & Methods. 2022, Vol. 51 Issue 7, p2281-2302. 22p.

Abstract:This paper studies an asset-liability management (ALM) problem under mean-variance criterion with inside information. The asset-liability manager is allowed to invest in a financial market composed of a bond and a stock. The stock price process is gove...

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A PROBABILISTIC METHOD FOR A CLASS OF NON-LIPSCHITZ BSDEs WITH APPLICATION TO FUND MANAGEMENT.

Publication Type:Academic Journal

Source(s):SIAM Journal on Control & Optimization. 2022, Vol. 60 Issue 3, p1193-1222. 30p.

Abstract:The present work is devoted to a study of the solvability of a class of non-Lipschitz and noncanonical backward stochastic differential equations (BSDEs) that naturally arises from an intertemporal mutual fund management problem; to this end, we propos...

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Nonfinancial resource management: A qualitative study of retention and engagement in not-for-profit community fund management organisation.

Publication Type:Academic Journal

Source(s):Asia Pacific Management Review. Jun2022, Vol. 27 Issue 2, p80-91. 12p.

Abstract:This study identifies the factors affecting volunteer retention and engagement. A dearth of research has focused on volunteering for not-for-profit organisations. These organisations are involved particularly in raising funds through public benevolence...

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Life Insurance Policy Loans, Technology Choices, and Strategic Asset-liability Matching Management.

Publication Type:Academic Journal

Source(s):Emerging Markets Finance & Trade. 2022, Vol. 58 Issue 7, p1838-1847. 10p. 8 Charts.

Abstract:We develop a two-stage contingent claim model to evaluate a life insurer's equity. The model sequentially determines the optimal guaranteed rate and the optimal technology choice for strategic asset-liability matching management. We show that increases...

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Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model.

Publication Type:Academic Journal

Source(s):Stochastic Models. 2022, Vol. 38 Issue 2, p167-189. 23p.

Abstract:This article describes a robust continuous-time asset-liability management problem under Markov regime-switching. First, we employ the "homothetic robustness" to preserve the performance of robustness for the ALM model, which runs well in precisely mod...

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Do professional courses prepare hospitality students for efficient surplus food management? A self-evaluation of professional competence in food waste prevention.

Publication Type:Academic Journal

Source(s):International Journal of Sustainability in Higher Education. 2022, Vol. 23 Issue 6, p1315-1331. 17p.

Abstract:Purpose: This study aims to examine Taiwanese hospitality students' self-reported professional competence in surplus food management and assess the usefulness of their university training in this area. Using the importance-performance analysis (IPA) me...

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