Asset Liability Management: a model for the greek household

Abstract

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.