Βιβλιοθήκη ΟΠΑ - Ψηφιακό Αποθετήριο

ΠΥΞΙΔΑ Ιδρυματικό Αποθετήριο
και Ψηφιακή Βιβλιοθήκη

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Συλλογές :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Οικονομικής Επιστήμης / Department of Economics Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Τίτλος :	Asset Liability Management: a model for the greek household

Δημιουργός :	Liakos, Konstantinos

Συντελεστής :	Sakellaris, Plutarchos (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of Economics (Degree granting institution)

Τύπος :	Text

Σημείωση :	JEL Classification C54, C61, D14, D81, G11

Φυσική περιγραφή :	80p.

Γλώσσα :	en

Περίληψη :	In this thesis we introduce a modeling framework to aid the greek households in their asset allocation decisions. The framework is based on dynamic stochastic programming and asset liability management (ALM) methodologies. Dynamic stochastic programming is widely used for many asset and liability management “ALM” applications. The modeling framework is established on two components. First component consists of modeling the underlying stochastic variables using well known processes such as Geometric Brownian Motion and the Geometric Ornstein- Uhlenbeck. The second corresponds to a dynamic stochastic programming model which is formulated as a multistage recourse problem. Computational experiments presented in this thesis are carried out for two hypothetical greek households.

Περίληψη :

In this thesis we introduce a modeling framework to aid the greek households in their asset allocation decisions. The framework is based on dynamic stochastic programming and asset liability management (ALM) methodologies. Dynamic stochastic programming is widely used for many asset and liability management “ALM” applications. The modeling framework is established on two components. First component consists of modeling the underlying stochastic variables using well known processes such as Geometric Brownian Motion and the Geometric Ornstein- Uhlenbeck. The second corresponds to a dynamic stochastic programming model which is formulated as a multistage recourse problem. Computational experiments presented in this thesis are carried out for two hypothetical greek households.

Λέξη κλειδί :	Asset liability management Stochastic programming Individual financial planning Optimal portfolios Scenario optimization

Ημερομηνία :	2014

Άδεια χρήσης :

Αρχείο: Liakos_2014.pdf

Τύπος: application/pdf

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