Optimal chance-constrained pension fund management through dynamic stochastic control
Year of publication: |
2022
|
---|---|
Authors: | Lauria, Davide ; Consigli, Giorgio ; Maggioni, Francesca |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 1436-6304, ZDB-ID 1467029-X. - Vol. 44.2022, 3, p. 967-1007
|
Subject: | Asset-liability management | Chance constraints | Pension funds | Stochastic control | Pensionskasse | Pension fund | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Management |
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