Drijver, Sibrand J.; Klein Haneveld, Willem K.; Vlerk, … - Faculteit Economie en Bedrijfskunde, Rijksuniversiteit … - 2002
A multistage mixed-integer stochastic programming model is formulated for an Asset Liability Management problem for pension funds. Since these models are too difficult to solve for realistically sized problems, a heuristic is described. Numerical results for several instances of a prototype...