Stochastic programming models for goal-based asset-liability management = 목적 기반 자산관리를 위한 추계 계획법 모델

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 335
  • Download : 0
This dissertation consists of three studies related to goal-based asset management tailored to individual needs. Three studies consist of a stochastic programming model that uses client friendly inputs for the model, a stochastic programming model that makes decisions for large number of time stages, and a study of generating scenario trees for use in stochastic models. First, we propose a multistage stochastic model to achieve the client’s consumption goals. In this model, unlike the existing models, the optimization proceeds with input values that are easily understood by the general public. Second, we propose a multistage stochastic programming model that make decisions on investment and consumption for a long period over 50 years. We propose to use a decomposition method to solve the curse of the dimensionality, which approximate the optimal solution efficiently. Finally, we propose a method to generate the scenario tree, which is used for solving stochastic programming problems. We propose to use a meta-heuristic algorithm to generate a scenario tree that matches its statistical moments. Through these three studies, we expect that we will be able to perform customized asset management more efficiently according to individual consumption goals.
Advisors
Kim, Woo Changresearcher김우창researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2018
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 산업및시스템공학과, 2018.2,[v, 86 :]

Keywords

Asset-liability management▼aGoal-based investment▼aMultistage stochastic programming▼aRetirement plan▼aCustomized wealth management; 자산 - 부채 관리▼a목표 기반 투자▼a다단추계적 계획▼a퇴직 계획▼a맞춤형 자산 관리

URI
http://hdl.handle.net/10203/264731
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=734300&flag=dissertation
Appears in Collection
IE-Theses_Ph.D.(박사논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0