Stochastic control applied in the optimization problem of asset and liability management

• Grant number: 13/08929-9
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: July 01, 2013
• End date: May 31, 2014
• Field of knowledge: Engineering - Electrical Engineering
• Principal Investigator: Oswaldo Luiz Do Valle Costa
• Grantee: Fernando Beck
• Host Institution: Escola Politécnica (EP). Universidade de São Paulo (USP). São Paulo , SP, Brazil

Abstract

This Project aims to study the concepts involved in the formulation of a problem of a stochastic problem, its possible applications on solving daily problems and the importance of obtaining stochastic solutions. Due to numerous uses of optimization methods through stochastic control, this project is going to analyze the case of asset and liability management of a pension fund. The techniques used in this analysis, however, can be used to solve many other problems. (AU)