| Título: | ASSET-LIABILITY MANAGEMENT MODELS IN DECISION MAKING |
| Autores: |
Bajram, Narela; Faculty of Business and Administration, International University of Sarajevo, Hrasnicka Cesta, Ilidza, Sarajevo BiH Can, Mehmet; Faculty of Engineering and Natural Sciences, International University of Sarajevo,Hrasnicka Cesta, Ilidza, Sarajevo BiH |
| Fecha: | 2013-06-15 |
| Publicador: | Journal of Business and Finance |
| Fuente: |
 |
| Tipo: |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
| Tema: | Asset-liability management model (ALM), linear and nonlinear utility function, portfolio optimization and multi period asset allocation |
| Descripción: | This paper uses an asset-liability management model to solve multi-period investment problems. The model aims to maximize the overall revenue and deal with uncertainties as well as with risks. The assumption of a linear utility function may lead to allocation of the wealth to one asset. This paper sheds some light on this issue by showing that the linear function can be a risky choice. For this purpose to solve multi-period investment problem we used two ways: first, using a piecewise linear function; and second using a non-linear utility function. The results show that the non-linear function outperform the piecewise linear function and generates better asset allocation. The problem is formulated by using the Wolfram Mathematical Programming System. |
| Idioma: | Inglés |
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