Development of a new asset liability Management model with liquidity and inflation risks based on the Lower Partial Moment

作者：

Highlights：

• Development of a new multi-period Asset Liability Management model.

• Consideration of liquidity and inflation risks along with the risk measure of LPM.

• Consideration of a CVaR constraint in the model.

• A case study along with a hybrid ARIMA-GARCH model.

摘要

•Development of a new multi-period Asset Liability Management model.•Consideration of liquidity and inflation risks along with the risk measure of LPM.•Consideration of a CVaR constraint in the model.•A case study along with a hybrid ARIMA-GARCH model.

论文关键词：Portfolio Optimization,Asset Liability Management,Lower Partial Moment,Liquidity Risk,Inflation Risk

论文评审过程：Received 9 May 2020, Revised 23 July 2022, Accepted 3 August 2022, Available online 8 August 2022, Version of Record 18 August 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.118427