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Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance

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Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance. / Wallace, Stein W; Høyland, Kjetil.
Handbook of Asset and Liability Management. Vol. 2 London, New York and Amsterdam: Elsevier, 2007. p. 591-625.

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Harvard

Wallace, SW & Høyland, K 2007, Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance. in Handbook of Asset and Liability Management. vol. 2, Elsevier, London, New York and Amsterdam, pp. 591-625. https://doi.org/10.1016/B978-044453248-0.50019-8

APA

Wallace, S. W., & Høyland, K. (2007). Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance. In Handbook of Asset and Liability Management (Vol. 2, pp. 591-625). Elsevier. https://doi.org/10.1016/B978-044453248-0.50019-8

Vancouver

Wallace SW, Høyland K. Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance. In Handbook of Asset and Liability Management. Vol. 2. London, New York and Amsterdam: Elsevier. 2007. p. 591-625 doi: 10.1016/B978-044453248-0.50019-8

Author

Wallace, Stein W ; Høyland, Kjetil. / Stochastic programming models for strategic and tactical asset allocation : a study from Norwegian life insurance. Handbook of Asset and Liability Management. Vol. 2 London, New York and Amsterdam : Elsevier, 2007. pp. 591-625

Bibtex

@inbook{0043c6d0a5f24b418068fa90957032d4,
title = "Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance",
abstract = "In this chapter we describe the development and use of two decision support models for asset allocation used within the Gjensidige-NOR Group,1 one of Norway's three largest financial groups. For strategic, long-term, asset liability management, the life insurance company within the Group uses an ALM-model. GN Asset Management, the asset management company within the group, uses a different model for shorter term tactical asset allocation in a hedge fund. Both models are based on stochastic programming. The models have been developed in close cooperation between GN Asset Management and the Norwegian University of Science and Technology.",
author = "Wallace, {Stein W} and Kjetil H{\o}yland",
year = "2007",
doi = "10.1016/B978-044453248-0.50019-8",
language = "English",
isbn = "9780444532480",
volume = "2",
pages = "591--625",
booktitle = "Handbook of Asset and Liability Management",
publisher = "Elsevier",
address = "Netherlands",

}

RIS

TY - CHAP

T1 - Stochastic programming models for strategic and tactical asset allocation

T2 - a study from Norwegian life insurance

AU - Wallace, Stein W

AU - Høyland, Kjetil

PY - 2007

Y1 - 2007

N2 - In this chapter we describe the development and use of two decision support models for asset allocation used within the Gjensidige-NOR Group,1 one of Norway's three largest financial groups. For strategic, long-term, asset liability management, the life insurance company within the Group uses an ALM-model. GN Asset Management, the asset management company within the group, uses a different model for shorter term tactical asset allocation in a hedge fund. Both models are based on stochastic programming. The models have been developed in close cooperation between GN Asset Management and the Norwegian University of Science and Technology.

AB - In this chapter we describe the development and use of two decision support models for asset allocation used within the Gjensidige-NOR Group,1 one of Norway's three largest financial groups. For strategic, long-term, asset liability management, the life insurance company within the Group uses an ALM-model. GN Asset Management, the asset management company within the group, uses a different model for shorter term tactical asset allocation in a hedge fund. Both models are based on stochastic programming. The models have been developed in close cooperation between GN Asset Management and the Norwegian University of Science and Technology.

U2 - 10.1016/B978-044453248-0.50019-8

DO - 10.1016/B978-044453248-0.50019-8

M3 - Chapter

SN - 9780444532480

VL - 2

SP - 591

EP - 625

BT - Handbook of Asset and Liability Management

PB - Elsevier

CY - London, New York and Amsterdam

ER -