All investors, individuals and institutions, have obligations and financial future goals. For this reason, they should make investment decisions that serve this purpose considering the risks they face. To assist in making decisions, it is possible to use the optimal investment policies, as the Asset and Liability Management, object of this work. The ALM, as is known, is a way to combine the assets and liabilities of investors seeking to achieve their goals in financial terms. In the case of individuals investors these goals can be seen as the individual s retirement and children s tuition. The present work proposes a methodology for optimization under uncertainty, employing both stochastic programming and portfolio optimization techniques, applied to the problem of managing assets and liabilities for an individual investor. The study is focused on a multi-period linear programming model developed by Consiglio, Cocco and Zenios (2002), which maximizes the expected wealth of the investor at the end of the planning horizon, given the individual s risk tolerance level. This model will be validated through the variation of the risk aversion level, the planning horizons and the target return that should be achieved on the final period.