| Title:
|
A stochastic programming approach to managing liquid asset portfolios (English) |
| Author:
|
Raubenheimer, Helgard |
| Author:
|
Kruger, Machiel F. |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
46 |
| Issue:
|
3 |
| Year:
|
2010 |
| Pages:
|
536-547 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period horizon, as well as for flexible risk management decisions, such as reinvesting coupons, at intermediate time steps. We show how our problem closely relates to insurance products with guarantees and utilize this in the formulation. We will discuss our formulation and implementation of a multi-stage stochastic programming model that minimizes the down-side risk of these portfolios. The model is back-tested on real market data over a period of two years (English) |
| Keyword:
|
stochastic programming |
| Keyword:
|
portfolio optimization |
| Keyword:
|
liquid assets |
| MSC:
|
90C15 |
| MSC:
|
91G10 |
| MSC:
|
91G80 |
| MSC:
|
97M30 |
| idZBL:
|
Zbl 1201.90142 |
| idMR:
|
MR2676089 |
| . |
| Date available:
|
2010-09-13T17:03:40Z |
| Last updated:
|
2013-09-21 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/140767 |
| . |
| Reference:
|
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| Reference:
|
[2] BESA (Bond exchange of South Africa): The BEASSA zero coupon yield curves: Technical specifications.Bond exchange of South Africa. Johannesburg 2003. |
| Reference:
|
[3] Dempster, M. A. H., Germano, M., Madova, E. A., Rietbargen, M. I., Sandrini, F., Scrowston, M.: Managing guarantees.J. Portfolio Management 32 (2006), 51–61. 10.3905/jpm.2006.611803 |
| Reference:
|
[4] Dempater, M. A. H., Pflug, G., Mitra, G., eds.: Quantitative Fund Management.Chapman & Hall/CRC Financial Mathematics Series, New York 2008. |
| Reference:
|
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| Reference:
|
[6] Kouwenberg, R.: Scenario generation and stochastic programming models for asset liability management.Europ. J. Oper. Res. 134 (2001), 279–292. Zbl 1008.91050, MR 1853618, 10.1016/S0377-2217(00)00261-7 |
| Reference:
|
[7] Mulvey, J. M., Pauling, W. R., Madey, R. E.: Advantages of multiperiod portfolio models.J. Portfolio Management 29 (2001), 35–45. 10.3905/jpm.2003.319871 |
| Reference:
|
[8] Shapiro, A., Dentcheva., D., Ruszczyński, A.: Lectures on Stochastic Programming: Modeling and Theory.MPS/SIAM Ser. Optim. 9, Philadelphia 2009. MR 2562798 |
| Reference:
|
[9] South Africa: Banks Act, No. 94 of 1990 (As amended).1990. Pretoria: Government Printer. [WEB:]http://www.reservebank.co.za. |
| Reference:
|
[10] South Africa: Regulations Relating to Banks. (Proclamation No. R. 1112, 2000).2000. Government Gazette, 21726, Nov. 8. (Regulations Gazette No. 6917.) [WEB:]http://www.reservebank.co.za. |
| Reference:
|
[11] Zenios, S. A.: Practical Financial Optimization: Decision Making for Financial Engineers.Blackwell Publishing, 2008. Zbl 1142.91008, MR 2381682 |
| Reference:
|
[12] Zenios, S. A., Ziemba, W. T.: Handbook of Asset and Liability Management: Volume 2.Elsevier, North-Holland, Amsterdam 2007. |
| . |
