Study On Multi-period Stochastic Programming Models For Asset Liability Management And Their Applications

The process of economic globalization and financial integration accelerates and aggravates the risk of financial market. The fast development of institutional investors requires strengthening risk management. Asset allocation is vital means for risk management, while asset allocation which considers liability is effective means for risk management. Stochastic programming model of asset liability management is ideal for analyzing long-term risk in financial planning and management issues. Research on asset liability management is summed up from domestic and overseas bank's asset liability management, insurance and pension plan, long-term financial planning issues and multistage financial asset allocation in this paper. Application of scenario generation and stochastic programming in multistage asset liability management is also discussed. Considering uncertainty of the future, research into domestic pension asset liability management, bank's asset liability management, asset allocation of invest fund and individual financial planning is proceeded against a background of domestic economic situation. The following aspects are included in detail:(1) Based on stochastic programming model of asset liability management, constrains of the model is improved and model suited domestic situation for the asset liability management is established according to the internal practical situation. Furthermore, considering future returns of various assets, variation of wages and uncertainty of pension payment, the paying rate with the minimum paying cost and deficit punishment and the optimal asset allocation during the planning period are determined when rate of substitution for pension is 6% against a background of Liaoning pension management.(2)Using the stochastic programming with simple recourse to research into bank's asset liability management issues, a model for bank's asset liability management is brought up considering internal bank supervision's requirement against a background of internal economic situation. Taking Pudong Development Bank as the object of research, the practical problems are studied and the contrast with the bank's real asset allocation and return condition is carried out.(3) Multistage financial asset allocation model based on VaR is put forward. VaR constraint is introduced into Carino's model in order to avoid portfolio's bearing too much risk in the asset allocation.