SAS: A Stochastic Programming Approach to Managing Liquid Asset Portfolios

Maintaining liquid asset portfolios involves a high carry cost and is legally mandatory for most financial institutions. Taking this into account, a financial institution’s aim is to optimally manage a liquid asset portfolio in an optimal way, keeping the minimum required liquid assets to comply with regulations. In this paper, we propose a multistage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a

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