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asset-liability-management

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ouyang-j / Pension-Asset-Liability-Management-Optimization

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an optimal fixed-income portfolio to immunize $9.3B in inflation-indexed pension liabilities over an 80-quarter horizon. Implemented Linear Programming in R to minimize cost while managing credit scores, inflation-linkage caps, and liquidity constraints

linear-programming quantitative-finance r-programming risk-management stochastic-optimization actuarial-science pension-funds asset-liability-management liability-trading fixed-income-modeling
  • Updated Jan 17, 2026
  • R

chirindaopensource / continuous_time_rl_for_alm

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End-to-end Python implementation of Huang's (2025) continuous-time RL methodology for asset-liability management. Features model-free soft actor-critic with adaptive exploration, entropy regularization, and Euler-Maruyama SDE simulation. Includes 7 baselines (SAC/PPO/DDPG/CPPI/ACS/MBP), parallelized execution, and Wilcoxon statistical validation.

python reinforcement-learning deep-reinforcement-learning pytorch policy-gradient portfolio-optimization quantitative-finance numerical-methods optimal-control algorithmic-trading stochastic-differential-equations gymnasium actor-critic risk-management financial-engineering stochastic-control continuous-time soft-actor-critic asset-liability-management entropy-regularization
  • Updated Oct 5, 2025
  • Jupyter Notebook

yasin-is-9-year-old / continuous_time_rl_for_alm

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🤖 Leverage continuous-time reinforcement learning to optimize asset-liability management and enhance financial decision-making.

python reinforcement-learning deep-reinforcement-learning pytorch policy-gradient portfolio-optimization quantitative-finance numerical-methods optimal-control algorithmic-trading stochastic-differential-equations gymnasium risk-management stochastic-control continuous-time soft-actor-critic asset-liability-management entropy-regularization
  • Updated Feb 13, 2026
  • Jupyter Notebook

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