Asset-liability management for Czech pension funds using stochastic programming

DOI10.1007/S10479-008-0358-6zbMath1163.90681OpenAlexW2087223814MaRDI QIDQ1026535

Jan Polívka, Jitka Dupačová

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/8960

zbMATH Keywords

case studyoutput analysisALMdefined contribution planscenario-based stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

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• Generating Scenario Trees for Multistage Decision Problems
• Scenario reduction in stochastic programming
• Portfolio optimization via stochastic programming: Methods of output analysis
• Scenario-based stochastic programs: Resistance with respect to sample
• The Innovest Austrian Pension Fund Financial Planning Model InnoALM
• Introduction to Stochastic Programming

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