Scenario optimization asset and liability modelling for individual investors

@article{Consiglio2007ScenarioOA,
  title={Scenario optimization asset and liability modelling for individual investors},
  author={Andrea Consiglio and Flavio Cocco and Stavros A. Zenios},
  journal={Annals OR},
  year={2007},
  volume={152},
  pages={167-191}
}
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. consiglio@unipa.it Prometeia, Bologna, IT. flavioc@prometeia.it University of Cyprus, Nicosia, CY, and The Financial Institutions Center, The Wharton School, Philadelphia, USA. zenioss@ucy.ac.cy 
5 Citations
10 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 10 references

Japelli, editors. Household Portfolios

  • L. Guiso, M. Haliassos
  • 2002

www.Personal Asset Allocation. Working paper 01-21

  • A. Consiglio, F. Cocco, S. A. Zenios
  • HERMES Center on Computational Finance…
  • 2001

The Home Account Advisortm: Asset and liability management for individual investors

  • A. J. Berger, J. M. Mulvey
  • Worldwide Asset and Liability Modeling,
  • 1998
1 Excerpt

Value at Risk: The new Benchmark for Controlling Market Risk

  • P. Jorion
  • Irwin Professional Publishing,
  • 1996
1 Excerpt

GAMS: A User’s Guide, Release 2.25

  • A. Brooke, D. Kendrick, A. Meeraus
  • 1923

Similar Papers

Loading similar papers…