This entry considers the problem of a typical pension fund that collects premiums from sponsors or employees and is liable for fixed payments to its customers after retirement. The fund manager’s goal is to determine an investment strategy so that the fund can cover its liabilities while minimizing contributions from its sponsors and maximizing the value of its assets. We develop robust optimization and scenario-based stochastic programming approaches for optimal asset-liability management, taking into consideration the uncertainty in asset returns and future liabilities. Our focus is on computational tractability and ease of implementation under conditions typically encountered in practice, such as asymmetries in the distributions of asset...
yesThis paper uses a novel numerical optimization technique – robust optimization – that is well sui...
We use a fairly general framework to analyze a rich variety of financial optimization models present...
We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability...
We survey the literature on robust dynamic asset allocation with an emphasis on the asset-liability ...
Decision making in managing the asset and liability structure of a pension fund can be supported by ...
Decision making in managing the asset and liability structure of a pension fund can be supported by ...
This paper proposes an Asset Liability Management (ALM) multistage stochastic programming model and ...
In this thesis a modeling framework to aid Icelandic pension funds in their asset allocation decisio...
It is possible to model a wide range of portfolio management problems using stochastic programming. ...
The book “Pension Fund Management in a Stochastic Optimization Framework” addresses problems regardi...
Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment...
Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the ...
A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key...
We present an asset-liability management (ALM) model designed to support optimal strategic p...
This paper describes a stochastic programming model that was developed for asset liability managemen...
yesThis paper uses a novel numerical optimization technique – robust optimization – that is well sui...
We use a fairly general framework to analyze a rich variety of financial optimization models present...
We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability...
We survey the literature on robust dynamic asset allocation with an emphasis on the asset-liability ...
Decision making in managing the asset and liability structure of a pension fund can be supported by ...
Decision making in managing the asset and liability structure of a pension fund can be supported by ...
This paper proposes an Asset Liability Management (ALM) multistage stochastic programming model and ...
In this thesis a modeling framework to aid Icelandic pension funds in their asset allocation decisio...
It is possible to model a wide range of portfolio management problems using stochastic programming. ...
The book “Pension Fund Management in a Stochastic Optimization Framework” addresses problems regardi...
Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment...
Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the ...
A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key...
We present an asset-liability management (ALM) model designed to support optimal strategic p...
This paper describes a stochastic programming model that was developed for asset liability managemen...
yesThis paper uses a novel numerical optimization technique – robust optimization – that is well sui...
We use a fairly general framework to analyze a rich variety of financial optimization models present...
We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability...