Chance-constrained optimization for pension fund portfolios in the presence of default risk
Yufei Sun, Grace Aw, Ryan Loxton, Kok Lay Teo
| Year of publication: |
1 January 2017
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|---|---|
| Authors: | Sun, Yufei ; Aw, Grace ; Loxton, Ryan ; Teo, Kok Lay |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 256.2017, 1 (1.1.), p. 205-214
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| Subject: | Pension fund | Portfolio optimization | Optimal control | Gradient-based optimization | Portfolio-Management | Portfolio selection | Pensionskasse | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.06.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011611251