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What is Balance Sheet Optimization by Gonzalo Lezma about?

This document provides an overview of computer aided balance sheet optimization for asset liability management (ALM). It defines the decision variables involved in optimizing a balance sheet over time periods t for assets i and liabilities j. These include amounts purchased, sold, held, incurred and paid over time. The document provides sample equations to model balance sheet changes over time and ensure balances are consistent period to period. It aims to optimize the balance sheet using these variables an

Author

Gonzalo Lezma Florida

Language

EN