Abstrak 
Global Optimization on Mean-VaR Portfolio Investment Under Asset Liability by Using Genetic Algorithm
Sukono, Sudradjat Supian, Dwi Susanti
Universitas Padjadjaran, Proceedings of the International Conference on Mathematical and Computer Sciences Jatinangor, October 23rd-24th , 2013
Bahasa Inggris
Universitas Padjadjaran, Proceedings of the International Conference on Mathematical and Computer Sciences Jatinangor, October 23rd-24th , 2013
global optimization. Asset liability, portfolio investment, Value at Risk
Management and liabilities to be very important for any bank or other financial institution. Accordingly, banks or other financial institutions should have a system that can formulate a function that can connect entrepreneurs or owners of capital with the real business sector. This paper studied and formulated a model that deals with the problem global optimization of the portfolio under the asset liability models. Formulation of the model was conducted on the modeling of the distribution of asset returns, equation liabilities, the risk measure Value-at-Risk, and local and global optimization equation. Furthermore, to find local and global optimum solution is done by using a genetic algorithm. Formulation results expected in this research is a model that can be used effectively in the management of assets and liabilities.