About this paper
Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account, a financial institution's aim is to manage a liquid asset portfolio in an optimal way, such that it keeps the minimum required liquid assets to comply with regulations. This paper proposes a multistage dynamic stochastic programming model for liquid asset portfolio management that allows for portfolio rebalancing decisions over a multiperiod horizon, as well as for flexible risk management decisions, such as reinvesting coupons, at intermediate time steps.
SAS is the leader in analytics. Through innovative analytics, business intelligence and data management software and services, SAS helps customers at more than 80,000 sites make better decisions faster. Since 1976, SAS has been giving customers around the world THE POWER TO KNOW®.