Concepedia

Integrated Asset-liability Optimization

Integrated Asset-Liability Optimization is a mathematical optimization framework that jointly determines asset allocation and liability financing strategies by simultaneously modeling asset returns, liability dynamics, and their interdependencies to achieve a unified investment objective under risk and regulatory constraints.

73

Publications

3.7K

Citations

160

Authors

117

Institutions

Publications per year

2017–2026

13

Variants

IalmIntegrated Asset-liability Management

Parents

Publications

73

The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming

David R. Cariño, Terry Kent, David Hobson Myers et al. · INFORMS Journal on Applied Analytics · 1994 · 363 citations

, , +15

Scenario generation and stochastic programming models for asset liability management

Roy Kouwenberg · European Journal of Operational Research · 2001 · 260 citations

, , +14

Formulation of the Russell-Yasuda Kasai Financial Planning Model

David R. Cariño, William T. Ziemba · Operations Research · 1998 · 206 citations

, , +13

A geometric approach to multiperiod mean variance optimization of assets and liabilities

Markus Leippold, Fabio Trojani, Paolo Vanini · Journal of Economic Dynamics and Control · 2003 · 188 citations · Full text

, , +13

Dynamic stochastic programmingfor asset-liability management

Giorgio Consigli, M. A. H. Dempster · Annals of Operations Research · 1998 · 186 citations

, , +11

1–5 of 73

Authors

160

  1. SA
    Stavros A. Zenios

    University of Pennsylvania, United States

    6 publications · 236 citations

    6

    h-index

  2. AC
    Andrea Consiglio

    University of Palermo, Italy

    5 publications · 132 citations

    5

    h-index

  3. FC
    Flavio Cocco

    Prometeia (Italy), Italy

    5 publications · 132 citations

    5

    h-index

  4. JP
    Jian Pan

    Gannan Normal University, China

    3 publications · 79 citations

    3

    h-index

  5. XQ
    Xiao Qing-xian

    University of Shanghai for Science and Technology, China

    3 publications · 79 citations

    3

    h-index

1–5 of 160

Institutions

117

  1. University of Cyprus

    Nicosia, Cyprus

    4 h-index

    4 publications

    120 citations

  2. Prometeia (Italy)

    Bologna, Italy

    4 h-index

    5 publications

    135 citations

  3. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    4 h-index

    5 publications

    502 citations

  4. University of Shanghai for Science and Technology

    Shanghai, China

    3 h-index

    5 publications

    128 citations

  5. Gannan Normal University

    Ganzhou, China

    3 h-index

    3 publications

    79 citations

  6. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    3 h-index

    3 publications

    478 citations

  7. University of Palermo

    Palermo, Italy

    3 h-index

    3 publications

    105 citations

  8. Guangdong University of Foreign Studies

    Guangzhou, China

    3 h-index

    3 publications

    74 citations

1–8 of 117

Venues

  1. Insurance Mathematics and Economics

    11 publications · 712 citations

    11

    h-index

  2. European Journal of Operational Research

    5 publications · 501 citations

    5

    h-index

  3. Annals of Operations Research

    5 publications · 273 citations

    4

    h-index

  4. SSRN Electronic Journal

    Repository · 4 publications · 136 citations

    4

    h-index

  5. Operations Research

    3 publications · 338 citations

    3

    h-index

1–5