An ALM model for pension funds using integrated chance constraints
Year of publication: |
2010
|
---|---|
Authors: | Klein Haneveld, Willem K. ; Streutker, Matthijs H. ; Vlerk, Maarten H. van der |
Published in: |
Annals of operations research. - Dordrecht, The Netherlands : Springer Nature B.V., ISSN 0254-5330, ZDB-ID 252629-3. - Vol. 177.2010, p. 47-62
|
Subject: | Mathematische Optimierung | Mathematical programming | Pensionskasse | Pension fund | Theorie | Theory | Portfolio-Management | Portfolio selection |
-
Investment policies for defined-contribution pension funds
Müller, Heinz H., (2008)
-
Stochastic programming in multistage financial planning
Şimşek, Koray Deniz, (2004)
-
Stochastic optimization for enterprise risk management
Zhang, Zhuojuan, (2006)
- More ...
-
ALM modeling for Dutch pension funds in an era of pension reform
Klein Haneveld, Willem K., (2007)
-
Indexation of Dutch pension rights in multistage recourse ALM models
Klein Haneveld, Willem K., (2010)
-
Collective adjustment of pension rights in ALM models
Klein Haneveld, Willem K., (2011)
- More ...