Optimal Portfolio Selection and Asset-Liability Management

by Sbaraglia, Simone
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Sbaraglia, Simone Optimal Portfolio Selection and Asset-Liability Management
Sbaraglia, Simone - Optimal Portfolio Selection and Asset-Liability Management

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In this book we face the problems of the optimal portfolio selection and asset- liability management, with constraints and transaction costs. In the basic problem, the portfolio manager has to manage an initial investment A0 until a fixed maturity T > 0. The manager is free to choose how to invest the money among a number of available assets and can periodically modify the portfolio composition, but has to satisfy several constraints both of endogenous and exogenous nature. Furthermore, each allocation change entails transaction costs, since it implies selling part of an asset to provide either liquidity or a different asset. The company manages the investments to achieve a number of goals, the most important of which is to meet its obligations towards the policy-holders.


Sbaraglia, Simone

Further information

Biography Artist:
Simone Sbaraglia is Associate Professor at the University of Cagliari, Italy. After receiving a PhD in Mathematics from University of Rome and conducting several years of research at the IBM T.J. Watson Research center in New York, Simone joined the University of Cagliari in 2005.
Number of Pages:
Media Type:
Edizioni Accademiche Italiane

Master Data

Product Type:
Paperback book
Release date:
December 21, 2018
Package Dimensions:
0.22 x 0.15 x 0.013 m; 0.376 kg
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