Abstract: A multi-period stochastic optimal model is established for assets liability management concerning the uncertainties of future economic factors based on the domestic actual situation.Researches are carried out on the dynamic assets allocations of fund companies,individual financial plans,banks assets liability management and pension problems.The optimal asset allocations have been realized when the objective function and constraints are adjusted and improved according to every specific problem and the uncertain economic factors are predicted using the vector autoregressive method.Then,the investment strategies linked with liability selection and investors' wealth come to optimization by means of multi-period stochastic programming.

Key words: assets liability management, scenarios generation, assets allocation, stochastic programming