Asset and liability management: A stochastic control approach

想象一下，一个机构投资者管理着一家企业，或者一个个人投资者面临着生命周期规划的问题，以使资产得到很好的投资，以覆盖负债。资产负债管理（Asset and liability management，简称ALM）是在一个统一的框架下协调资产和负债的一般概念。它处于风险管理和战略规划之间的十字路口。资产管理不仅是为了对冲或减轻潜在风险，还专注于提高长期回报。事实上，现代对资产管理计划的看法是平衡风险、成本和回报之间的关系。

Imagine that an institutional investor manages a business or an individual investor faces the problem of life-cycle planning so that assets are well invested to cover liabilities. Asset and liability management (in short, ALM) is a general concept of coordinating assets and liabilities in a unified framework. It is at the crossroads between risk management and strategic planning. ALM is not only about hedging or mitigating the underlying risks but is focused on boosting the long-term returns. Indeed, the modern view of the ALM programs is to balance the relationships among risks, costs and returns.