资产负债管理多阶段模型及应用

本文根据我国实际情况,考虑未来各种经济因素的不确定性,建立了资产负债管理问题多阶段随机优化模型.对基金公司的多阶段资产配置问题、个人财务计划问题、银行资产负债管理问题以及养老金问题进行研究,针对每一个具体问题对目标函数和约束条件进行了调整和改进.对未来不确定的经济因素采用向量自回归方法进行预测,得到了最优资产配置,使得与负债选择和投资者财富相联系的资产投资决策通过多期随机规划达到最优.

Multi - Period Model for Assets Liability Management and Its Application

A multi-period stochastic optimal model is established for assets liability management concerning the uncertainties of future economic factors based on the domestic actual situation.Researches are carried out on the dynamic assets allocations of fund companies,individual financial plans,banks assets liability management and pension problems.The optimal asset allocations have been realized when the objective function and constraints are adjusted and improved according to every specific problem and the uncertain economic factors are predicted using the vector autoregressive method.Then,the investment strategies linked with liability selection and investors' wealth come to optimization by means of multi-period stochastic programming.