Gestión de Activos y Pasivos: Un análisis bibliométrico y modelación de temas
DOI:
https://doi.org/10.18041/1900-3803/entramado.1.8242Palabras clave:
Gestión de activos y pasivos, Análisis bibliométrico, Análisis de contenido, Revisión sistemáticaResumen
La gestión de activos y pasivos (ALM – Assets and Liabilities Management por sus siglas en inglés) ha sido un tema de interés para tomadores de decisión en el sector privado y público. Este estudio muestra una revisión sistemática de 416 investigaciones publicadas, en el indice de citas Scopus, asociadas con el ALM en un periodo de tiempo de 1983 a 2021. El objetivo principal es identificar las líneas de publicación a través del tiempo, enfatizar en las revistas más asociadas con el tema, así como los autores relevantes. La herramienta que se utilizó fue Bibliometrix de R, la cuál permitió identificar los indicadores bibliométricos en las publicaciones. Además, en el trabajo se propone una modelación de temas a partir de metodologías de minería de texto. Los resultados permiten concluir que la investigación cuantitativa ha sido ampliamente explotada a través de las 6 temáticas: Financial risk management, Stochastic modeling, Pension funds, Capital markets and the insurance industry, Mean-variance models, General optimization models. Esta investigación permite identificar brechas en la literatura para enmarcar futuras investigaciones.
Descargas
Referencias
AHMAD, Nisar; NAVEED, Amjad; AHMAD, Shabbir; BUTT, Irfan. Banking sector performance, profitability, and efficiency: a citation-based systematic literature review. In: Journal of Economic Surveys. 2020. vol. 34, no. 1. https://doi.org/10.1111/joes.12346
ALBRECHER, Hansjörg; BAUER, Daniel; EMBRECHTS, Paul; FILIPOVIĆ, Damir; KOCH-MEDINA, Pablo; KORN, Ralf; LOISEL, Stéphane; PELSSER, Antoon; SCHILLER, Frank; SCHMEISER, Hato; WAGNER, Joël. Asset-Liability Management for Long-Term Insurance Business. In: European Actuarial Journal. 2018. vol. 8, no. 1. p. 9–25. https://doi.org/10.1007/s13385-018-0167-5
ALLEN, Bill; CHAN, Ka Kei; MILNE, Alistair; THOMAS, Steve. Basel III: Is the Cure Worse than the Disease? In: International Review of Financial Analysis. 2012. vol. 25. p. 159–66. https://doi.org/10.1016/j.irfa.2012.08.004
AMÉDÉE-MANESME, Charles Olivier; BARTHÉLÉMY, Fabrice; MAILLARD, Didier. Computation of the Corrected Cornish–Fisher Expansion Using the Response Surface Methodology: Application to VaR and CVaR. In: Annals of Operations Research. 2019. vol. 281, no. 1–2. p. 423–53. https://doi.org/10.1007/s10479-018-2792-4
AMENC, Noël; MARTELLINI, Lionel; MILHAU, Vincent; ZIEMANN, Volker. Asset-Liability Management in Private Wealth Management. In: Journal of Portfolio Management. 2009. vol. 36, no. 1. https://doi.org/10.3905/JPM.2009.36.1.100.
AMENC, Noël; MARTELLINI, Lionel; ZIEMANN, Volker. Inflation-Hedging Properties of Real Assets and Implications for Asset-Liability Management Decisions. In: Journal of Portfolio Management. 2009. vol. 35, no. 4. p. 94–110. https://doi.org/10.3905/JPM.2009.35.4.094
ARCHER, Simon; AHMED ABDEL KARIM, Rifaat; SUNDARARAJAN, Venkataraman. Supervisory, Regulatory, and Capital Adequacy Implications of Profit-Sharing Investment Accounts in Islamic Finance. In: Journal of Islamic Accounting and Business Research. 2010. vol. 1, no. 1. p. 10–31. https://doi.org/10.1108/17590811011033389
ARIA, Massimo; CUCCURULLO, Corrado. Bibliometrix: An R-Tool for Comprehensive Science Mapping Analysis. In: Journal of Informetrics. 2017. vol. 11, no. 4. https://doi.org/10.1016/j.joi.2017.08.007
ASIMIT, Alexandru V.; GAO, Tao; HU, Junlei; KIM, Eun Seok. Optimal Risk Transfer: A Numerical Optimization Approach. In: North American Actuarial Journal. 2018. vol. 22, no. 3. p. 341–64. https://doi.org/10.1080/10920277.2017.1421472
BAJRAM, Narela; CAN, Mehmet. Asset-Liability Management Models in Decision Making. In: Journal of Business and Finance. 2013. vol. 1, no. 1. p. 11–16.
BARMUTA, Karine; PONKRATOV, Vadim; MARAMYGIN, Maksim; KUZNETSOV, Nikolay; IVLEV, Vitali; IVLEVA, Marina. Mathematical Model of Optimizing the Balance Sheet Structure of the Russian Banking System with Allowance for the Foreign Exchange Risk Levels. In: Entrepreneurship and Sustainability Issues. 2019. vol. 7, no. 1. https://doi.org/10.9770/jesi.2019.7.1(34)
BASSE, Tobias; FRIEDRICH, Meik. Solvency II, Asset Liability Management, and the European Bond Market - Theory and Empirical Evidence. In: Zeitschrift Fur Die Gesamte Versicherungswissenschaft. 2008. vol. 97no. SUPPL. 1. p. 155–71. https://doi.org/10.1007/s12297-008-0041-7
BIRGE, John R.; JÚDICE, Pedro. Long-Term Bank Balance Sheet Management: Estimation and Simulation of Risk-Factors. In: Journal of Banking and Finance. 2013. vol. 37, no. 12. p. 4711–20. https://doi.org/10.1016/j.jbankfin.2013.07.040
BLAKE, David. Pension Schemes as Options on Pension Fund Assets: Implications for Pension Fund Management. In: Insurance: Mathematics and Economics. 1998. vol. 23,no. 3. p. 263–86. https://doi.org/10.1016/S0167-6687(98)00048-1
BLEI, David M.; NG, Andrew Y.; JORDAN, Michael I. Latent Dirichlet Allocation. In: Journal of Machine Learning Research. 2003. vol. 3, no. 4-5. https://doi.org/10.1016/b978-0-12-411519-4.00006-9
BOENDER, Guus C. E. A Hybrid Simulation/Optimisation Scenario Model for Asset/Liability Management. In: European Journal of Operational Research. 1997. vol. 99, no. 1. p. 126–35. https://doi.org/10.1016/S0377-2217(96)00387-6
BOGENTOFT, Erik; ROMEIJN, H. Edwin; URYASEV, Stanislav. Asset/Liability Management for Pension Funds Using CVaR Constraints. In: Journal of Risk Finance. 2001. vol. 3, no. 1. p. 57–71. https://doi.org/10.1108/eb043483
BRIYS, Eric; DE VARENNE, François. Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. In: The GENEVA Papers on Risk and Insurance Theory. 1994. vol.19, no. 1. p. 53–72. https://doi.org/10.1007/BF01112014
CASTELLANI, Davide; CINCINELLI, Peter. Dealing with Drought-Related Credit and Liquidity Risks in MFIs: Evidence from Africa. In: Strategic Change. 2015. vol. 24, no. 1. p. 67–84. https://doi.org/10.1002/jsc.1998
CHEN, Ping; YANG, Hailiang. Markowitz’s Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. In: Applied Mathematical Finance. 2011. vol. 18, no. 1. p. 29–50. https://doi.org/10.1080/13504861003703633
CHEN, Ping; YANG, Hailiang; YIN, George. Markowitz’s Mean-Variance Asset-Liability Management with Regime Switching: A Continuous-Time Model. In: Insurance: Mathematics and Economics. 2008. vol. 43, no. 3. p. 456–65. https://doi.org/10.1016/j.insmatheco.2008.09.001
CHIU, M. C.; LI, D. Asset-Liability Management under the Safety-First Principle. In: Journal of Optimization Theory and Applications. 2009. vol. 143, no. 3. p. 455–78. https://doi.org/10.1007/s10957-009-9576-6
CHIU, Mei Choi; LI, Duan. Asset and Liability Management under a Continuous-Time Mean-Variance Optimization Framework. In: Insurance: Mathematics and Economics. 2006. vol. 39, no. 3. p. 330–55. https://doi.org/10.1016/j.insmatheco.2006.03.006
CHIU, Mei Choi; WONG, Hoi Ying. Mean-Variance Asset-Liability Management: Cointegrated Assets and Insurance Liability. In: European Journal of Operational Research. 2012. vol. 223, no. 3. p. 785–93. https://doi.org/10.1016/j.ejor.2012.07.009
CHIU, Mei Choi; WONG, Hoi Ying. Mean-Variance Principle of Managing Cointegrated Risky Assets and Random Liabilities. In: Operations Research Letters. 2013. vol. 41, no. 1. p. 98–106. https://doi.org/10.1016/j.orl.2012.11.013
CHIU, Mei Choi; WONG, Hoi Ying. Mean-Variance Asset-Liability Management with Asset Correlation Risk and Insurance Liabilities. In: Insurance: Mathematics and Economics. 2014. vol. 59. p. 300–310. https://doi.org/10.1016/j.insmatheco.2014.10.003
CHIU, Mei Choi; WONG, Hoi Ying; LI, Duan. Roy’s Safety-First Portfolio Principle in Financial Risk Management of Disastrous Events. In: Risk Analysis. 2012. vol.32, no. 11. p. 1856–72. https://doi.org/10.1111/j.1539-6924.2011.01751.x
CONSIGLI, G.; DEMPSTER, M. A. H. Dynamic Stochastic Programming for Asset-Liability Management. In: Annals of Operations Research. 1998. vol. 81p. 131–61. https://doi.org/10.2139/ssrn.34780
CONSIGLI, Giorgio; IAQUINTA, Gaetano; MORIGGIA, Vittorio; DI TRIA, Massimo; MUSITELLI, Davide. Retirement Planning in Individual Asset-Liability Management. In: IMA Journal of Management Mathematics. 2012. vol.23, no. 4. p. 365–96. https://doi.org/10.1093/imaman/dps019
CONSIGLI, Giorgio; MORIGGIA, Vittorio; VITALI, Sebastiano. Long-Term Individual Financial Planning under Stochastic Dominance Constraints. In: Annals of Operations Research. 2020. vol. 292, no. 2. https://doi.org/10.1007/s10479-019-03253-8
CONSIGLIO, Andrea; COCCO, Flavio; ZENIOS, Stavros A. Asset and Liability Modelling for Participating Policies with Guarantees. In: European Journal of Operational Research. 2008. vol. 186, no. 1. p. 380–404. https://doi.org/10.1016/j.ejor.2007.01.037
COX, John C.; INGERSOLL, Jonathan E.; ROSS, Stephen A. A Theory of the Term Structure of Interest Rates. In: Econometrica. 1985. vol.53, no. 2. https://doi.org/10.2307/1911242
DECAMPS, Marc; DE SCHEPPER, Ann; GOOVAERTS, Marc. A Path Integral Approach to Asset-Liability Management. In: Physica A: Statistical Mechanics and Its Applications. 2006. vol. 363, no. 2. p. 404–16. https://doi.org/10.1016/j.physa.2005.08.059
DEMPSTER, M. A. H.; GERMANO, M.; MEDOVA, E. A.; RIETBERGEN, M. I.; SANDRINI, F.; SCROWSTON, M. Designing Minimum Guaranteed Return Funds. In: Quantitative Finance. 2007. vol. 7, no. 2. p. 245–56. https://doi.org/10.1080/14697680701264804
DETEMPLE, Jérôme; RINDISBACHER, Marcel. Dynamic Asset Liability Management with Tolerance for Limited Shortfalls. In: Insurance: Mathematics and Economics. 2008. vol. 43, no. 3. p. 281–94. https://doi.org/10.1016/j.insmatheco.2008.05.009
DEWASURENDRA, Sagara; JUDICE, Pedro; ZHU, Qiji. The Optimum Leverage Level of the Banking Sector. In: Risks. 2019. vol. 7, no. 2. p. 1–30. https://doi.org/10.3390/risks7020051
DUARTE, Thiago B.; VALLADÃO, Davi M.; VEIGA, Álvaro. Asset Liability Management for Open Pension Schemes Using Multistage Stochastic Programming under Solvency-II-Based Regulatory Constraints. In: Insurance: Mathematics and Economics. 2017. vol. 77, p. 177–88. https://doi.org/10.1016/j.insmatheco.2017.09.022
DUPAČOVÁ, Jitka; POLÍVKA, Jan. Asset-Liability Management for Czech Pension Funds Using Stochastic Programming. In: Annals of Operations Research. 2009. vol. 165, no. 1. p. 5–28. https://doi.org/10.1007/s10479-008-0358-6
ERWIN, Keulana; ABUBAKAR, Erwin; MUDA, Iskandar. The Relationship of Lending, Funding, Capital, Human Resource, Asset Liability Management to Non-Financial Sustainability of Rural Banks no. BPRs) in Indonesia. In: Journal of Applied Economic Sciences. 2018. vol. 13, no. 2. p. 520–542 https://www.researchgate.net/publication/327175868_The_relationship_of_lending_funding_capital_human_resource_asset_liability_management_to_non-financial_sustainability_of_rural_banks_BPRs_in_Indonesia
FALAGAS, Matthew E.; PITSOUNI, Eleni I.; MALIETZIS, George A.; PAPPAS, Georgios. Comparison of PubMed, Scopus, Web of Science, and Google Scholar: Strengths and Weaknesses. In: The FASEB Journal. 2008. vol. 22, no. 2. https://doi.org/10.1096/fj.07-9492lsf
FELICE, Massimo de; MORICONI, Franco. Market Based Tools for Managing the Life Insurance Company. In: ASTIN Bulletin. 2005. vol. 35, no. 1. p. 79–111. https://doi.org/10.1017/S0515036100014070
FERNÁNDEZ, José L.; FERREIRO-FERREIRO, Ana M.; GARCÍA-RODRÍGUEZ, José A.; VÁZQUEZ, Carlos. GPU Parallel Implementation for Asset-Liability Management in Insurance Companies. In: Journal of Computational Science. 2018. vol. 24, p. 232–54. https://doi.org/10.1016/j.jocs.2017.05.010
FERSTL, Robert; WEISSENSTEINER, Alex. Asset-Liability Management under Time-Varying Investment Opportunities. In: Journal of Banking and Finance. 2011. vol. 35, no. 1. p. 182–92. https://doi.org/10.1016/j.jbankfin.2010.07.028
FLETEN, Stein Erik; HØYLAND, Kjetil; WALLACE, Stein W. The Performance of Stochastic Dynamic and Fixed Mix Portfolio Models. In: European Journal of Operational Research. 2002. vol. 140, no. 1. p. 37–49. https://doi.org/10.1016/S0377-2217(01)00195-3
FLÓREZ, Martha. “Control de Riesgos Financieros Mediante Asset Liability Management (ALM) Aplicado a La Industria de Seguros.” Univesidad de los Andes.
FRANCESCHINI, Fiorenzo; MAISANO, Domenico; MASTROGIACOMO, Luca. Empirical Analysis and Classification of Database Errors in Scopus and Web of Science. In: Journal of Informetrics. 2016. vol. 10, no. 4). https://doi.org/10.1016/j.joi.2016.07.003
GAROUSI, Vahid; MÄNTYLÄ, Mika V. Citations, Research Topics and Active Countries in Software Engineering: A Bibliometrics Study. In: Computer Science Review. 2016. vol. 19.
GERSTNER, Thomas; GRIEBEL, Michael; HOLTZ, Markus; GOSCHNICK, Ralf; HAEP, Marcus. A General Asset-Liability Management Model for the Efficient Simulation of Portfolios of Life Insurance Policies. In: Insurance: Mathematics and Economics. 2008. vol. 42, no. 2. p. 704–16. https://doi.org/10.1016/j.insmatheco.2007.07.007
GIAMOURIDIS, Daniel; SAKKAS, Athanasios; TESSAROMATIS, Nikolaos. Dynamic Asset Allocation with Liabilities. In: European Financial Management. 2017. vol. 23, no. 2. p. 254–91. https://doi.org/10.1111/eufm.12097
GOODMAN, Laurie S.; LANGER, Martha J. Accounting for Interest Rate Futures in Bank Asset‐liability Management. In: Journal of Futures Markets. 1983. vol. 3, no. 4. https://doi.org/10.1002/fut.3990030407
GÜLPINAR, Nalan; PACHAMANOVA, Dessislava. A Robust Optimization Approach to Asset-Liability Management under Time-Varying Investment Opportunities. In: Journal of Banking and Finance. 2013. vol. 37, no. 6. p. 2031–41. https://doi.org/10.1016/j.jbankfin.2013.01.025
GÜLPINAR, Nalan; PACHAMANOVA, Dessislava; ÇANAKOĞLU, Ethem. A Robust Asset–Liability Management Framework for Investment Products with Guarantees. In: OR Spectrum. 2016. vol. 38, no. 4. p. 1007–41. https://doi.org/10.1007/s00291-016-0437-z
HANEWALD, Katja; POST, Thomas; GRÜNDL, Helmut. Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency. In: Geneva Papers on Risk and Insurance: Issues and Practice. 2011. vol. 36, no. 3. p. 458–75. https://doi.org/10.1057/gpp.2011.14
HARZING, Anne Wil; ALAKANGAS, Satu. Google Scholar, Scopus and the Web of Science: A Longitudinal and Cross-Disciplinary Comparison. In: Scientometrics. 2016. vol. 106, no. 2. https://doi.org/10.1007/s11192-015-1798-9
HILLI, Petri; KOIVU, Matti; PENNANEN, Teemu; RANNE, Antero. A Stochastic Programming Model for Asset Liability Management of a Finnish Pension Company. In: Annals of Operations Research. 2007. vol. 152, no. 1. p. 115–39. https://doi.org/10.1007/s10479-006-0135-3
HOCHREITER, Ronald; PFLUG, Georg Ch. Financial Scenario Generation for Stochastic Multi-Stage Decision Processes as Facility Location Problems. In: Annals of Operations Research. 2007. vol. 152, no. 1. p. 257–72. https://doi.org/10.1007/s10479-006-0140-6
HOEVENAARS, Roy P. M. M.; MOLENAAR, Roderick D. J.; SCHOTMAN, Peter C.; STEENKAMP, Tom B. M. Strategic Asset Allocation with Liabilities: Beyond Stocks and Bonds. In: Journal of Economic Dynamics and Control. 2008. vol. 32, no. 9. p. 2939–70. https://doi.org/10.1016/j.jedc.2007.11.003
JELODAR, Hamed; WANG, Yongli; YUAN, Chi; FENG, Xia; JIANG, Xiahui; LI, Yanchao; ZHAO, Liang. Latent Dirichlet Allocation (LDA) and Topic Modeling: Models, Applications, a Survey. In: Multimedia Tools and Applications. 2019. vol. 78, no. 11. https://doi.org/10.1007/s11042-018-6894-4
JØRGENSEN, Peter Løchte. Traffic Light Options. In: Journal of Banking and Finance. 2007. vol. 31, no. 12p. 3698–3719. https://doi.org/10.1016/j.jbankfin.2007.01.021
JUMONO, Sapto; SUGIYANTO; Mala, Chajar Matari Fath. Determinants of Profitability in Banking Industry: A Case Study of Indonesia. In: International Journal of English Language and Literature Studies. 2019. vol. 9, no. 1p. 91–108. https://doi.org/10.18488/journal.aefr.2019.91.91.108
KAMINSKYI, Andrii; VERSAL, Nataliia. Risk Management of Dollarization in Banking: Case of Post-Soviet Countries. In: Montenegrin Journal of Economics. 2018. vol. 14, no. 2p. 21–40. https://doi.org/10.14254/1800-5845/2018.14-2.2
KAUFMANN, Roger; GADMER, Andreas; KLETT, Ralf. Introduction to Dynamic Financial Analysis. In: ASTIN Bulletin. 2001. vol. 31, no. 1p. 213–49. https://doi.org/10.2143/ast.31.1.1003
KEEL, Alex; MÜLLER, Heinz H. Efficient Portfolios in the Asset Liability Context. In: ASTIN Bulletin. 1995. vol. 25, no. 1p. 33–48. https://doi.org/10.2143/ast.25.1.563252
KESSLER, Denis. Why (Re)Insurance Is Not Systemic. In: Journal of Risk and Insurance. 2014. vol. 81, no. 3p. 477–88. https://doi.org/10.1111/j.1539-6975.2013.12007.x
KLAASSEN, Pieter. Discretized Reality and Spurious Profits in Stochastic Programming Models for Asset/Liability Management. In: European Journal of Operational Research. 1997. vol. 101, no. 2p. 374–92. https://doi.org/10.1016/S0377-2217(96)00404-3
KONNO, Hiroshi; KOSHIZUKA, Tomoyuki. Mean-Absolute Deviation Model. In: IIE Transactions (Institute of Industrial Engineers). 2005. vol. 37, no. 10p. 893–900. https://doi.org/10.1080/07408170591007786
KOPA, Miloš; RUSÝ, Tomáš. A Decision-Dependent Randomness Stochastic Program for Asset–Liability Management Model with a Pricing Decision. In: Annals of Operations Research. 2020. https://doi.org/10.1007/s10479-020-03583-y
KOUWENBERG, Roy. Scenario Generation and Stochastic Programming Models for Asset Liability Management. In: European Journal of Operational Research. 2001. vol. 134, no. 2. https://doi.org/10.1016/S0377-2217(00)00261-7
KOUWENBERG, Roy; GONDZIO, Jacek. High Performance Computing for Asset Liability Management High Performance Computing for Asset Liability Management Y. 2000. (May).
KUSY, M. I.; ZIEMBA, W. T. Bank Asset and Liability Management Model. In: Operations Research. 1986. vol. 34, no. 3. p. 356–76.
LI, Chanjuan; LI, Zhongfei. Multi-Period Portfolio Optimization for Asset-Liability Management with Bankrupt Control. In: Applied Mathematics and Computation. 2012. vol. 218, no. 22. p. 11196–208. https://doi.org/10.1016/j.amc.2012.05.010
LI, Danping; SHEN, Yang; ZENG, Yan. Dynamic Derivative-Based Investment Strategy for Mean–Variance Asset–Liability Management with Stochastic Volatility. In: Insurance: Mathematics and Economics. 2018. vol. 78. p. 72–86. https://doi.org/10.1016/j.insmatheco.2017.11.006
LI, Duan; NG, Wan Lung. Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. In: Mathematical Finance. 2000. vol. 10, no. 3. https://doi.org/10.1111/1467-9965.00100
MARKOWITZ, Harry. Portfolio Selection. In: The Journal of Finance. 1952. vol. 7, no. 1. p. 77–91.
MARTÍN-MARTÍN, Alberto; ORDUNA-MALEA, Enrique; THELWALL, Mike; DELGADO LÓPEZ-CÓZAR, Emilio. Google Scholar, Web of Science, and Scopus: A Systematic Comparison of Citations in 252 Subject Categories. In: Journal of Informetrics. 2018. vol. 12, no. 4. https://doi.org/10.1016/j.joi.2018.09.002
MAURER, Raimond; ROGALLA, Ralph; SIEGELIN, Ivonne. Participating Payout Life Annuities: Lessons from Germany. In: ASTIN Bulletin. 2013. vol. 43, no. 2. p. 159–87. https://doi.org/10.1017/asb.2013.10
MEDOVA, E. A.; MURPHY, J. K.; OWEN, A. P.; REHMAN, K. Individual Asset Liability Management. In: Quantitative Finance. 2008. vol. 8, no. 6. p. 547–60. https://doi.org/10.1080/14697680802402691
MULVEY, John M.; ROSENBAUM, Daniel P.; SHETTY, Bala. Strategic Financial Risk Management and Operations Research. In: European Journal of Operational Research. 1997. vol. 97, no. 1. p. 1–16. https://doi.org/10.1016/S0377-2217(96)00222-6
MULVEY, John M.; SIMSEK, Koray D.; ZHANG, Zhuojuan; FABOZZI, Frank J.; PAULING, William R. Assisting Defined-Benefit Pension Plans. In: Operations Research. 2008. vol. 56, no. 5. p. 1066–78. https://doi.org/10.1287/opre.1080.0526
MULVEY, John M.; ZENIOS, Stavros A. Capturing the Correlations of Fixed-Income Instruments. In: Management Science. 1994. vol. 40, no. 10. p. 1329–42. https://doi.org/10.1287/mnsc.40.10.1329
MULVEY, John M.; ZIEMBA, W. T. Worldwide Asset and Liability Modeling. Cambridge University Press, 1998.
NIELSEN, Soren S.; ZENIOS, Stavros A. A Stochastic Programming Model for Funding Single Premium Deferred Annuities. In: Mathematical Programming, Series B. 1996. vol. 75, no. 2. p. 177–200. https://doi.org/10.1007/BF02592151
DE OLIVEIRA, Alan Delgado; FILOMENA, Tiago Pascoal; PERLIN, Marcelo Scherer; LEJEUNE, Miguel; DE MACEDO, Guilherme Ribeiro. A Multistage Stochastic Programming Asset-Liability Management Model: An Application to the Brazilian Pension Fund Industry. In: Optimization and Engineering. 2017. vol. 18, no. 2. p. 349–68. https://doi.org/10.1007/s11081-016-9316-3
PAN, Jian; XIAO, Qingxian. Optimal Asset–Liability Management with Liquidity Constraints and Stochastic Interest Rates in the Expected Utility Framework. In: Journal of Computational and Applied Mathematics. 2017a. vol. 317.p. 371–87. https://doi.org/10.1016/j.cam.2016.11.037
PAN, Jian; XIAO, Qingxian. Optimal Mean–Variance Asset-Liability Management with Stochastic Interest Rates and Inflation Risks. In: Mathematical Methods of Operations Research. 2017b. vol. 85, no. 3. p. 491–519. https://doi.org/10.1007/s00186-017-0580-6
PESKIN, Michael W. Asset Allocation and Funding Policy for Corporate-Sponsored Defined-Benefit Pension Plans: Asset/Liability Management in a Corporate Finance Framework Reduces Cost and Risk. In: Journal of Portfolio Management. 1997. vol. 23, no. 2. p. 66–73. https://doi.org/10.3905/jpm.23.2.66
PFLUG, G. Ch; ŚWIȨTANOWSKI, A.; DOCKNER, E.; MORITSCH, H. The AURORA Financial Management System: Model and Parallel Implementation Design. In: Annals of Operations Research. 2000. vol. 99, no. 1–4. p. 189–206. https://doi.org/10.1023/a:1019297118383
PLATANAKIS, Emmanouil; SUTCLIFFE, Charles. Asset–Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS. In: European Journal of Finance. 2017. vol. 23, no. 4. p. 324–52. https://doi.org/10.1080/1351847X.2015.1071714
PURNANANDAM, Amiyatosh. Interest Rate Derivatives at Commercial Banks: An Empirical Investigation. In: Journal of Monetary Economics. 2007. vol. 54, no. 6. p. 1769–1808. https://doi.org/10.1016/j.jmoneco.2006.07.009
SALTON, Gerard; BUCKLEY, Christopher. Term-Weighting Approaches in Automatic Text Retrieval. In: Information Processing and Management. 1988. vol. 24, no. 5. https://doi.org/10.1016/0306-4573(88)90021-0
SHEN, Yang; WEI, Jiaqin; ZHAO, Qian. Mean–Variance Asset–Liability Management Problem Under Non-Markovian Regime-Switching Models. In: Applied Mathematics and Optimization. 2020. vol. 81, no. 3. p. 859–97. https://doi.org/10.1007/s00245-018-9523-8
SILGE, Julia; ROBINSON, David. Text Mining with R. In: The Journal of Open Source Software. 2016. 1, no. 3).
SOA. Professional Actuarial Specialty Guide Asset-Liability Management. 2003.
SODHI, Man Mohan S.; TANG, Christopher S. Modeling Supply-Chain Planning under Demand Uncertainty Using Stochastic Programming: A Survey Motivated by Asset-Liability Management. In: International Journal of Production Economics. 2009. vol. 121, no. 2. p. 728–38. https://doi.org/10.1016/j.ijpe.2009.02.009
SODHI, Manmohan S. LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications. In: Operations Research. 2005. vol. 53, no. 2. p. 181–96. https://doi.org/10.1287/opre.1040.0185
STAIKOURAS, Sotiris K. Financial Intermediaries and Interest Rate Risk: II. In: Financial Markets, Institutions and Instruments. 2006. vol. 15, no. 5. p. 225–72. https://doi.org/10.1111/j.1468-0416.2006.00118.x
TSAI, Jeffrey T.; TZENG, Larry Y.; WANG, Jennifer L. Hedging Longevity Risk When Interest Rates Are Uncertain. In: North American Actuarial Journal. 2011. vol. 15, no. 2. p. 201–11. https://doi.org/10.1080/10920277.2011.10597617
VISWANATHAN, P. K.; RANGANATHAM, M.; BALASUBRAMANIAN, G. Modeling Asset Allocation and Liability Composition for Indian Banks. In: Managerial Finance. 2014. vol. 40, no. 7. p. 700–723. https://doi.org/10.1108/MF-10-2013-0276
WANG, Guangchen; XIAO, Hua; XING, Guojing. An Optimal Control Problem for Mean-Field Forward–Backward Stochastic Differential Equation with Noisy Observation. In: Automatica. 2017. vol. 86. p. 104–9. https://doi.org/10.1016/j.automatica.2017.07.018
WEI, J.; WONG, K. C.; YAM, S. C. P.; YUNG, S. P. Markowitz’s Mean-Variance Asset-Liability Management with Regime Switching: A Time-Consistent Approach. In: Insurance: Mathematics and Economics. 2013. vol. 53, no. 1. p. 281–91. https://doi.org/10.1016/j.insmatheco.2013.05.008
WEI, Jiaqin; WANG, Tianxiao. Time-Consistent Mean–Variance Asset–Liability Management with Random Coefficients. In: Insurance: Mathematics and Economics. 2017. vol. 77, p.84–96. https://doi.org/10.1016/j.insmatheco.2017.08.011
XIE, Shuxiang. Continuous-Time Mean-Variance Portfolio Selection with Liability and Regime Switching. In: Insurance: Mathematics and Economics. 2009. vol. 45, no. 1. p. 148–55. https://doi.org/10.1016/j.insmatheco.2009.05.005
XIE, Shuxiang; LI, Zhongfei; WANG, Shouyang. Continuous-Time Portfolio Selection with Liability: Mean-Variance Model and Stochastic LQ Approach. In: Insurance: Mathematics and Economics. 2008. vol. 42, no. 3. p. 943–53. https://doi.org/10.1016/j.insmatheco.2007.10.014
YAO, Haixiang; LAI, Yongzeng; LI, Yong. Continuous-Time Mean-Variance Asset-Liability Management with Endogenous Liabilities. In: Insurance: Mathematics and Economics. 2013. vol. 52, no. 1. p. 6–17. https://doi.org/10.1016/j.insmatheco.2012.10.001
YAO, Haixiang; LI, Xun; HAO, Zhifeng; LI, Yong. Dynamic Asset–Liability Management in a Markov Market with Stochastic Cash Flows. In: Quantitative Finance. 2016. vol. 16, no. 10. p. 1575–97. https://doi.org/10.1080/14697688.2016.1151070
YAO, Haixiang; ZENG, Yan; CHEN, Shumin. Multi-Period Mean-Variance Asset-Liability Management with Uncontrolled Cash Flow and Uncertain Time-Horizon. In: Economic Modelling. 2013. vol. 30, no. 1. p. 492–500. https://doi.org/10.1016/j.econmod.2012.10.004
YI, Lan; LI, Zhongfei; LI, Duan. Multi-Period Portfolio Selection for Asset-Liability Management with Uncertain Investment Horizon. In: Journal of Industrial and Management Optimization. 2008. vol. 4, no. 3. p. 535–52. https://doi.org/10.3934/jimo.2008.4.535
ZENG, Yan; LI, Zhongfei. Asset-Liability Management under Benchmark and Mean-Variance Criteria in a Jump Diffusion Market. In: Journal of Systems Science and Complexity. 2011. vol. 24, no. 2. p. 317–27. https://doi.org/10.1007/s11424-011-9105-1
ZENIOS, Stavros A. Asset/Liability Management under Uncertainty for Fixed-Income Securities. In: Annals of Operations Research. 1995. vol. 59, no. 1. p. 77–97. https://doi.org/10.1007/BF02031744
ZENIOS, Stavros A.; ZIEMBA, William T. Handbook of Asset and Liability Management. North Holland, 2006. https://www.elsevier.com/books/handbook-of-asset-and-liability-management/zenios/978-0-444-50875-1
ZHANG, Miao; CHEN, Ping. Mean-Variance Asset-Liability Management under Constant Elasticity of Variance Process. In: Insurance: Mathematics and Economics. 2016. vol. 70. p.11–18. https://doi.org/10.1016/j.insmatheco.2016.05.019
ZHANG, Yan; WU, Yonghong; LI, Shuang; WIWATANAPATAPHEE, Benchawan. Mean-Variance Asset Liability Management with State-Dependent Risk Aversion. In: North American Actuarial Journal. 2017. vol. 21, no. 1. p. 87–106. https://doi.org/10.1080/10920277.2016.1247719
ZOPOUNIDIS, Constantin; DOUMPOS, Michael; PARDALOS, Panos. Handbook of Financial Engineering. 2010. Springer Science & Business Media. https://doi.org/10.1007/978-0-387-76682-9
Descargas
Publicado
Número
Sección
Licencia
Derechos de autor 2022 Entramado
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
