Asset-liability management (ALM) attempts to find the optimal investment strategy under uncertainty in both the asset and liability streams. The ALM problem can be of interest to both private investors and banks or insurance companies. In fact, while a private investor may need to consider also the liabilities, as he may wish to plan his personal investments accounting for future consumption decisions that he has already planned; on the other hand an insurance company or a bank must take liabilities into consideration as they have payments to customers and employees that must be satisfied. In order to obtain reliable results in this portfolio optimization problem, it's important to focus on the scenario generation.