Dissertation > Economic > Economic planning and management > Enterprise economy > Corporate Financial Management

Prudent asset and liability management optimization model and empirical analysis

Author WuDan
Tutor SunXiaoLing
School Fudan University
Course Operational Research and Cybernetics
Keywords Financial optimization asset and liability management stochastic programming robust optimization empirical analysis
CLC F275
Type Master's thesis
Year 2011
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In this thesis we present a new robust asset and liability model, which takes into account of the uncertainty in interest rate’s influence on the future cash flows, capital cost and return of assets. We apply scenario tree to describe the trend of future interest rate. As the optimal decision is very sensitive to the accuracy of the interest rate’s forecasting, we construct a robust optimization model in which the range of the coefficients are within an ellipsoid. The empirical analysis demonstrates that the optimal solution of the robust optimization model outperforms the classical model in terms of the tradeoff between return and risk, and the cash flow matching.

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