Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/26410
Título: Genetic algorithms applied to asset & liability management
Autor: Almeida, João Filipe Clérigo Ribeiro de
Orientador: Castelli, Mauro
Bravo, Jorge
Palavras-chave: Genetic Algorithms
Evolutionary Algorithms
Pension Funds
Life Insurance
Asset Liability Management
Data de Defesa: 3-Nov-2017
Resumo: Effective asset liability management is at the core of what a life insurance company must do, particularly in what concerns defined benefits pension fund products. The life insurer faces a complex problem whereby multiple and sometimes conflicting objectives must be addressed at the same time, such as achieving higher returns while reducing the portfolio’s exposure to a plethora of risks. To achieve these goals, pension fund managers must then carefully choose asset allocation strategies for their portfolios from an infinite pool of asset combinations and weights. Given the nature of this problem, the use of genetic algorithms seems to be adequate, as this method is particularly well suited to deal with very large and multi-modal solution spaces. The main purpose of this dissertation is to assess how well the genetic algorithm method performs in solving this specific problem, and compare the results with other simpler methods. The results of Genetic Algorithms application were satisfactory and the results of this study suggests that Genetic Algorithms are a useful tool to solve ALM problems.
URI: http://hdl.handle.net/10362/26410
Designação: Mestrado em Gestão de Informação
Aparece nas colecções:NIMS - Dissertações de Mestrado em Gestão da Informação

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