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Formulation Of The Russell-Yasuda Kasai Financial Planning Model

In: Selected Works of William T Ziemba A Memorial Volume

Author

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  • DAVID R. CARIÑO
  • WILLIAM T. ZIEMBA

Abstract

This paper describes the formulation of the Russell-Yasuda Kasai financial planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm’s assets over time discussed in Cariño et al. (1994,1998, respectively). The multistage stochastic linear program incorporates Yasuda Kasai’s asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximize expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.

Suggested Citation

  • David R. Cariño & William T. Ziemba, 2024. "Formulation Of The Russell-Yasuda Kasai Financial Planning Model," World Scientific Book Chapters, in: Leonard MacLean & Sébastien Lleo (ed.), Selected Works of William T Ziemba A Memorial Volume, chapter 10, pages 169-185, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811285530_0010
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    Keywords

    William Ziemba; Financial Planning Models; Racetrack Betting; Sports Analytics; Market Anomalies; Risk Factors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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