Formulation of the Russell-Yasuda Kasai Financial Planning Model

Authors:
David R. Carino;William T. Ziemba
Affiliations:
-;-
Venue:
Operations Research
Year:
1998

Citing 0
Cited 7

A Heuristic for Moment-Matching Scenario Generation

Computational Optimization and Applications
Simulation for risk management: risk management of a P/C insurance company scenario generation, simulation and optimization

Proceedings of the 35th conference on Winter simulation: driving innovation
Measuring Risk for Income Streams

Computational Optimization and Applications
A Stochastic Programming Approach to Power Portfolio Optimization

Operations Research
Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization

Expert Systems with Applications: An International Journal
Computation of feasible portfolio controlstrategies for an insurance company using a discrete time asset/liability model

Mathematical and Computer Modelling: An International Journal
Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions

Operations Research Letters

Quantified Score

Hi-index	0.00

Visualization

Abstract

This paper describes the formulation of the Russell-Yasuda Kasai financial planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm's assets over time discussed in Carin~o et al. (1994, 1998, respectively). The multistage stochastic linear program incorporates Yasuda Kasai's asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximize expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.