Formulation of the Russell-Yasuda Kasai Financial Planning Model

Autor:	William T. Ziemba, David R. Carino
Rok vydání:	1998
Předmět:	Actuarial science business.industry Liability Financial plan Asset and liability management Management Science and Operations Research Computer Science Applications Financial management Economics Financial modeling Economic model Cash flow Asset (economics) business Mathematical economics
Zdroj:	Operations Research. 46:433-449
ISSN:	1526-5463 0030-364X
DOI:	10.1287/opre.46.4.433
Popis:	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 Cariño 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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5dabac4225e24314adee6fc1e9f41edc https://doi.org/10.1287/opre.46.4.433 Zobrazit plný text záznamu Plný text ve formátu PDF