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Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee

Scheller, Johanna; Pézier, Jacques - Henley Business School, University of Reading - 2008

There is a potential conflict of interest between a pension fund sponsor and future pensioners when they share unequally in the pension fund performance. Thus, when a scheme offers a yearly guaranteed minimum return to pensioners, as is presently the case with German Pensionskassen, the sponsors...

Persistent link: https://www.econbiz.de/10008542362

Robust-based interactive portfolio selection problems with an uncertainty set of returns

Hasuike, Takashi; Katagiri, Hideki - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 3, pp. 263-288

Persistent link: https://www.econbiz.de/10010232691

ADD, DROP and INTERCHANGE heuristics for the portfolio selection problem

Sharma, R. R. K.; Mokashi, Sandeep - In: International journal of operations and quantitative … 19 (2013) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10010198932

Time consistency of the mean-risk problem

Kováčová, Gabriela; Rudloff, Birgit - In: Operations research 69 (2021) 4, pp. 1100-1117

Persistent link: https://www.econbiz.de/10012625134

Multicriteria decision support for project portfolio selection with the FITradeoff method

Marques, Adriana Cavalcante; Frej, Eduarda Asfora; … - In: Omega : the international journal of management science 111 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013271718

Portfolio selection problem : issues, challenges and future prospectus

Kumar, Akhilesh; Shadid, Mohammad - In: Theoretical and applied economics : GAER review 28 (2021) 4/629, pp. 71-90

Persistent link: https://www.econbiz.de/10013259054

Portfolio Inertia and Epsilon-Contaminations

Asano, Takao - In: Theory and Decision 68 (2010) 3, pp. 341-365

Persistent link: https://www.econbiz.de/10008631251

Robust portfolio selection problems : a comprehensive review

Ghahtarani, Alireza; Saif, Ahmed; Ghasemi, Alireza - In: Operational research : an international journal 22 (2022) 4, pp. 3203-3264

Persistent link: https://www.econbiz.de/10013445378

Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure

Hooshmand, F.; Anoushirvani, Z.; MirHassani, S. A. - In: International transactions in operational research : a … 30 (2023) 5, pp. 2665-2690

Persistent link: https://www.econbiz.de/10014261204

Probability maximization models for portfolio selection under ambiguity

Hasuike, Takashi; Ishii, Hiroaki - In: Central European Journal of Operations Research 17 (2009) 2, pp. 159-180

Persistent link: https://www.econbiz.de/10008515691