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An ALM model for pension funds using integrated chance constraints
Klein Haneveld, Willem K.; Streutker, Matthijs H.; … - 2010
Persistent link: https://www.econbiz.de/10003983913
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Collective adjustment of pension rights in ALM models
Klein Haneveld, Willem K.; Streutker, Matthijs H.; … - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 137-156
Persistent link: https://www.econbiz.de/10008992057
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Asset liability management modeling using multi-stage mixed-integer stochastic programming
Drijver, S. J.; Klein Haneveld, Willem K.; Vlerk, … - 2000
Persistent link: https://www.econbiz.de/10001543445
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Efficient fund of hedge funds construction under downside risk measures
Morton, David P.; Popova, Elmira; Popova, Ivilina - In: Journal of banking & finance 30 (2006) 2, pp. 503-518
Persistent link: https://www.econbiz.de/10003291310
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Modeling hedge fund leverage via power utility with subsistence
Morton, David P.; Popova, Ivilina - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 77-85
Persistent link: https://www.econbiz.de/10010209502
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Efficient portfolios computed with moment-based bounds
Morton, David P.; Dokov, Steftcho; Popova, Ivilina - In: Finance research letters 51 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014291616