We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.
Bibliographical noteFunding Information:
The author would like to thank two anonymous referees and the editor for their helpful comments. This work was supported (in part) by Yonsei University Research Fund of 2003.
All Science Journal Classification (ASJC) codes
- Computer Science(all)
- Modelling and Simulation
- Management Science and Operations Research