Ziemba W.T. The Stochastic Programming Approach to Asset, Liability, and Wealth Management

Research Foundation of CFA Institute, 2003. — 208 p. — ISBN: 0943205654, 9780943205656All individuals and institutions face asset/liability management problems on a continuous basis. The assets must be invested over time to achieve sufficient returns to cover liabilities and achieve goals subject to various uncertainties, policy and legal.