Mathematical Model of Asset and Liability Management in the Presence of Normative and Internal Constraints

In this paper we present the mathematical formulation of the problem of planning the Asset Liability Management if the Presence of Normative and Internal Constraints. As a nonlinear optimal control problem, it has specifics due to the state constraints. The maximum principle involves verification of regularity property in order to apply computational methods. We reformulate the problem as the problem with convex objective function and linear, but mixed system of constraints. This enables application of optimization methods to compute the optimal controls, and study the dependence of controls on the parameters that describe the external environments and the management objective.