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Mehrperiodige ALM-Modelle mit CVaR-Minimierung für Schweizer Pensionskassen
Künzi-Bay, Alexandra - 2007
Persistent link: https://www.econbiz.de/10003723044
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An extreme value theory for measuring financial risk in the Uruguayan pension funds
Magnou, Guillermo - In: Revista de economía 24 (2017) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10011924722
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Optimal asset allocation in asset liability management
Binsbergen, Jules H. van; Brandt, Michael W. - 2007
Persistent link: https://www.econbiz.de/10003435789
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Essays on risk assessment and risk management
Althaus, Thomas Rolf - 2015
Portfolio Absicherungsstrategien im Kontext der Investmentrisikosteuerung einer Pensionskasse nutzenmaximierend sein können …
Persistent link: https://www.econbiz.de/10010510566
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Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 69 (2016), pp. 224-237
Persistent link: https://www.econbiz.de/10011533911
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Tail risk in pension funds : an analysis using ARCH models and bilinear processes
Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331
Persistent link: https://www.econbiz.de/10010490407
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Economic costs and benefits of imposing short-horizon value-at-risk type regulation
Shi, Zhen; Werker, Bas J. M. - 2011
Persistent link: https://www.econbiz.de/10008939218
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Economic costs and benefits of imposing short-horizon value-at-risk type regulation
Shi, Zhen; Werker, Bas J. M. - 2011
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10011386148
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Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation
Shi, Zhen - 2011
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10013128971
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Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation
Shi, Zhen - 2012
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10013116262