Scenario optimization asset and liability modelling for individual investors

  title={Scenario optimization asset and liability modelling for individual investors},
  author={Andrea Consiglio and Flavio Cocco and Stavros A. Zenios},
  journal={Annals OR},
We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some time University of Palermo,IT. Prometeia, Bologna, IT. University of Cyprus, Nicosia, CY, and The Financial Institutions Center, The Wharton School, Philadelphia, USA. 
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