Robust Optimal Asset Liability Management via Stochastic Control Theory

基于随机控制理论的鲁棒最优资产负债管理

• 批准号: LP0882276
• 负责人: Prof Subhrakanti Dey
• 金额: --
• 依托单位: The University of Melbourne
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2008
• 资助国家: 澳大利亚
• 起止时间: 2008-01-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0882276
• 关键词: Robust; Optimal; Asset; Liability; Management

The Australian federal and state governments are strongly exposed to the Australian and international investment markets, either directly or through entities such as the Future Fund, state-owned insurers and superannuation schemes. Additionally, the investment pool represented by individual Australian's superannuation savings managed by non-government organisations is significant. Robust and effective management of these assets in order to meet future liabilities of these funds are essential to a stable Australian economy. This research has the potential to be a key component of reliable investment management, helping make Australia an important investment hub.

澳大利亚联邦和州政府直接或通过未来基金、国有保险公司和养老金计划等实体，在澳大利亚和国际投资市场上有着很强的风险敞口。 此外，由非政府组织管理的澳大利亚个人退休金储蓄所代表的投资池是重要的。 稳健和有效地管理这些资产，以满足这些基金的未来负债，对稳定的澳大利亚经济至关重要。 这项研究有可能成为可靠投资管理的关键组成部分，帮助澳大利亚成为重要的投资中心。