Portfolio and Asset Liability Management mit Übung
type:  lecture  

chair:  Statistik, Ökonometrie und Mathematische Finanzwirtschaft  
semester:  SS 2011  
place:  Geb. 20.12, 002 (V) Geb. 20.12, 002 (Ü) 

time:  April/Mai, Montags 9:45 – 11:15 (V)Geb. 20.12, R. 002 

start:  11.04.2011  
lecturer:  Dr. Kim (Examina Prof. Dr. Rachev) 

sws:  4  
ects:  7,5  
25357:  2520357  
exam:  mündlich, nach Vereinbarung 

information:  Literatur Stavros A. Zenios, Financial Optimization, Cambridge University Press, 1993.
Kurzbeschreibung Asset liability management (ALM) attempts to find the optimal investment strategy under uncertainty in both asset and liability streams. In order to deal with the stochastic nature of assets, interest rates and liabilities and furthermore, with the dynamic nature of investing, complex optimization problems have to be solved. The essential mathematical tools of modern portfolio construction methods are stochastic control and stochastic programming. The course will cover the following topics: in the first part, some classical financial optimization models are reviewed, measures of dispersion, measures of risk, probabilities metrics are defined and simple optimization problems are solved. The second part of the course will be an introduction to stochastic programming, single and multistage optimization, scenario generation, dynamic portfolio optimization with stochastic programming. Empirical distributions for stock prices and returns have found that the extreme values are more likely than would be predicted by the normal distribution. This is the reason why in the third part, the more general and adequate alpha stable distribution is introduced. Some general notions about ideal probabilities metrics, copula functions, performance measures will be given during the course. Practical examples and exercises will help to better understand empirical applications of ALM techniques.


Sheets
Lernmaterial
 Chapter 1,2,3
 Chapter 4
 Application of Stochastic Programming and Stable Distributions to Asset Liability Managemen
 Stable NonGaussian Asset Allocation
 Handout
 zenioslectures.zip
 StochModels Lecture 1: Concepts of Probability
 StochModels Lecture 2: Optimization
 StochModels Lecture 3: Probability Metrics
 StochModels Lecture 3: Appendix
 StochModels Lecture 4: Ideal Probability Metrics
 StochModels Lecture 4: Appendix
 StochModels Lecture 5: Choice under uncertainty
 StochModels Lecture 5: Appendix
 StochModels Lecture 6: Risk and uncertainty
 StochModels Lecture 6: Appendix
 StochModels Lecture 7: Average valueatrisk
 StochModels Lecture 7: Appendix
 StochModels Lecture 8: Optimal portfolios
 StochModels Lecture 8: Appendix
 StochModels Lecture 9: Benchmark tracking problems
 StochModels Lecture 9: Appendix
 StochModels Lecture 10: Performance measures
 StochModels Lecture 10: Appendix