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Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model

Author

Listed:
  • David R. Cariño

    (Frank Russell Australia, Sydney, Australia)

  • David H. Myers

    (University of Washington, Seattle, Washington)

  • William T. Ziemba

    (The University of British Columbia, Vancouver, British Columbia, Canada)

Abstract

This paper discusses technical aspects of the Russell-Yasuda Kasai financial planning model. These include the models for the discrete distribution scenario generation processes for the uncertain parameters of the model, the mathematical approach used to develop the infinite-horizon end-effects part of the model, a comparison of algorithms used in the model's solution, and a comparison of the multistage stochastic linear programming model with the previous technology, static mean-variance analysis. Experience and benefits of the model in Yasuda-Kasai's financial planning process is also discussed.

Suggested Citation

  • David R. Cariño & David H. Myers & William T. Ziemba, 1998. "Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 450-462, August.
    • Handle: RePEc:inm:oropre:v:46:y:1998:i:4:p:450-462
    DOI: 10.1287/opre.46.4.450
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    References listed on IDEAS

    as
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    7. David R. Cariño & William T. Ziemba, 1998. "Formulation of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 433-449, August.
    8. David R. Cariño & Terry Kent & David H. Myers & Celine Stacy & Mike Sylvanus & Andrew L. Turner & Kouji Watanabe & William T. Ziemba, 1994. "The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming," Interfaces, INFORMS, vol. 24(1), pages 29-49, February.
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