Asset-liability modelling and pension schemes : the application of robust optimization to USS
Emmanouil Platanakis and Charles Sutcliffe
| Year of publication: |
March-April 2017
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| Authors: | Platanakis, Emmanouil ; Sutcliffe, Charles M. S. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 4/6, p. 324-352
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| Subject: | robust optimization | pension scheme | asset-liability model | Sharpe ratio | Sharpe-Tint | Bayes-Stein | Black-Litterman | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Pensionskasse | Pension fund | Gesetzliche Rentenversicherung | Public pension system | Altersvorsorge | Retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2015.1071714 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011736260