
Asset and liability management is the simultaneous consideration of assets and liabilities in strategic investment planning. The asset and liability management models in the literature are reviewed with an emphasis on the recently developed approaches. In most of the recent models, the uncertainty is described by a representative set of scenarios. The validity of the Gaussian assumption in scenario generation is questioned, and stable Paretian distribution is suggested as an alternative hypothesis.
info:eu-repo/classification/ddc/330, 330, ddc:330, Economics
info:eu-repo/classification/ddc/330, 330, ddc:330, Economics
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