Article ID: | iaor20072080 |
Country: | United Kingdom |
Volume: | 33 |
Issue: | 5 |
Start Page Number: | 1184 |
End Page Number: | 1199 |
Publication Date: | May 2006 |
Journal: | Computers and Operations Research |
Authors: | Kim Joocheol |
We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.