A robust asset–liability management framework for investment products with guarantees

Gülpınar, Nalân; Pachamanova, Dessislava A.; Çanakoğlu, Ethem

doi:10.1007/s00291-016-0437-z

Cited by 12 publications

(4 citation statements)

References 42 publications

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“…For future research directions, it is suggested that balance sheet items be optimized for each of the banks in the banking system or the entire banking system. At the end, for future research, the effects of data ambiguity and uncertainty in asset-liability management can be considered [134][135][136][137][138][139][140][141][142]. For this purpose, the popular and applicable uncertain programming approaches such as fuzzy optimization and robust optimization [165][166][167][168][169][170][171][172][173][174][175][176][177][178][179][180][181] can be used to deal with uncertainty of data.…”

Section: Conclusion and Future Research Directionsmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance sheet. Most of the studies `and proposed models in the ALM field are based on an objective function that maximizes bank profit. It is not easy to apply changes in these models in order to reach the optimal values of the parameters in the balance sheet. In this article, an attempt has been made to propose a linear model using constraints to achieve optimal values of balance sheet parameters using ALM objectives and considering balance sheet, system and regulatory constraints. It has also been tried to design the model according to the most possible mode and with the least changes and to minimize the size of the balance sheet. The analysis of the model presented in this article has been conducted using the parameters of the balance sheet and income statement of one of the famous Iranian banks. The results obtained from the proposed model show that the values of cash and receivables from banks and other credit institutions have decreased by 30% and increased by 200%, respectively, compared to the actual values of these parameters. Also, Total Income, Operating Income and Non-Operating Income have grown by 30% compared to the actual values of these parameters. Also, the values of a number of parameters are estimated to be zero after optimization. According to the results, it is obvious that the performance of bank managers, especially in the management of bank assets, is significantly different from the optimal values of the balance sheet, and the results obtained from the proposed model can help the management of banks as much as possible.

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Section: Conclusion and Future Research Directionsmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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“…Then, future returns can be related to a former period rate of return. Unlike symmetric uncertainty sets assumption in other robust ALM problems, Gülpınar et al (2016) developed a robust ALM problem by asymmetric uncertainty set which leads to a formulation that can capture the impact of the asymmetric nature of uncertain parameters.…”

Section: Asset-liability Management Problemmentioning

confidence: 99%

Robust Portfolio Selection Problems: A Comprehensive Review

Ghahtarani¹,

Ahmed²,

Ghasemi³

2021

Preprint

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In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.

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“…This gives a probability guarantee of the solution x of robust counterpart (3.2). A widely-used uncertainty set is the ellipsoidal set (e.g., EL Ghaoui, 2003;Pachamanova, 2013, andGulpinar et al, 2016):…”

Section: Robust Optimization and Asymmetric Distributionmentioning

confidence: 99%

“…Our work is related to Gulpinar and Pachamanova (2013), Gulpinar, Canakoglu and Pachamanova (2014) and Gulpinar, Pachamanova and Canakoglu (2016), where the multi-period Asset-Liability Management under uncertainty are considered . However, there exist some important differences between these work and our studies.…”

Section: Introductionmentioning

confidence: 99%

Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

Ling

Sun

Wang

2020

European Journal of Operational Research

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Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed uncertainty set, in which the downside losses of a portfolio are controlled by the lower partial moment (LPM). A computationally tractable approximation approach based on second-order cone optimization is used for solving the proposed model. We show in theory that the optimal solution of the robust model can generate a given probability guarantee for individual and joint stochastic constraints. The effect of the asymmetrically distributed uncertainty set on performance of the optimal solution is analyzed by the usual comparative static method. Comprehensive numerical comparisons with real market data are reported and indicate that the proposed model can obtain the smaller standard deviation and turnover ratios which reduce the Sharpe ratios of optimal portfolio, compared with some well-known models in the literature.

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A robust asset–liability management framework for investment products with guarantees

Cited by 12 publications

References 42 publications

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Robust Portfolio Selection Problems: A Comprehensive Review

Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

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