Formulation of the Russell–Yasuda Kasai financial planning model

Formulation of the Russell–Yasuda Kasai financial planning model

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Article ID: iaor19991273
Country: United States
Volume: 46
Issue: 4
Start Page Number: 433
End Page Number: 449
Publication Date: Jul 1998
Journal: Operations Research
Authors: ,
Keywords: programming: probabilistic
Abstract:

This paper describes the formulation of the Russell–Yasuda Kasai financial planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm's assets over time discussed in Cariño et al. The multistage stochastic linear program incorporates Yasuda Kasai's asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximise expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.

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