The ASSET_LIABILITY_S.lng Model

Asset-Liability Management, Stochastic case

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Each period we can buy and sell a variety of investments, and we can borrow or lend for one period at a rate specific to the period. In the stochastic case, the borrowing and lending rates are random variables. How should we invest each period?

Keywords:

Financial Planning | Asset-Liability Management | Bonds | Yield Curve | Stochastic Optimization |