volume 9, issue 01, P137-195 2003
DOI: 10.1017/s1357321700004153
View full text
M. A. H. Dempster, M. Germano, E. A. Medova, M. Villaverde

Abstract: Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate the evolution over time of financial models of funds, complex liabilities and entire firms. Although of increasing popularity, the drawback of DFA is the dearth of systematic methods for optimising model parameters for strategic financial planning. This paper introduces strategic DFA which employs the only recently mature technology of dynamic stochastic optimisation to fill this gap. The new approach is described…

expand abstract