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Asset Liability Models that are Useful in Practice
CQF Institute Talk

Wednesday, 15th July London and online

This talk will be led by Dr. William T. Ziemba 

Talk Overview
This talk will focus on asset liability models for institutions and individuals. We will begin with a review of various modelling approaches such as Mean Variance Analysis, Continuous Time Modeling, showing their advantages and limitations. Dr. Ziemba will discuss a Multiperiod Stochastic Programming modeling approach. This is scenario optimization, a practical approach that can handle the uncertain assets and liabilities and the policy and instructional constraints. The scenarios model how the future might evolve. We discuss various ways to estimate these scenarios and to determine which are most important for model success. The Russell Yasuda Kasai model for a large Japanese insurance company, the largest financial model at its time will be discussed along with other models made by the Frank Russell Company. Dr. Ziemba will look at the InnoALM model, developed for the Austrian pension fund of Siemens. Convex Risk Measures, Scenario Dependent Correlation Matrices and the Discrete Scenario Stochastic Programming approach will also be compared.

Speaker Biography
Dr. William T. Ziemba is the Alumni Professor of Financial Modelling and Stochastic Optimization (Emeritus) at the University of British Columbia and a distinguished visiting associate at the London School of Economics. His research is in asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, sports and lottery investments and applied stochastic programming.

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For any questions, please email us at cqfinstitute@fitchlearning.com