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J4  2007, Vol. 4 Issue (1): 118-    DOI:
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Study on Multi-stage Models for Asset and Liability Management
 JIN Xiu, HUANG Xiao-Yuan
Northeastern University,Shenyang,China

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Abstract  

Multi-period models for Asset Liability Management and their applications are summarized and related research papers are commented on. Specifically, the problem is addressed from the following aspects, that is, Multiperiod stochastic programming models for asset liability management, Bank's asset liability management, pension fund and insurance company, financial planning, dynamic asset allocation and scenario generation. At last, some directions remained to be studied are presented based on domestic research and application situation.

Key wordsasset liability management      risk management      scenario generation      multi-period stochastic programming     
Received: 03 April 2006     
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JIN Xiu
HUANG Xiao-Yuan
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JIN Xiu,HUANG Xiao-Yuan. Study on Multi-stage Models for Asset and Liability Management[J]. J4, 2007, 4(1): 118-.
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http://manu68.magtech.com.cn/Jwk_glxb/EN/     OR     http://manu68.magtech.com.cn/Jwk_glxb/EN/Y2007/V4/I1/118
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