Chance-constrained optimization for pension fund portfolios in the presence of default risk

DOI10.1016/j.ejor.2016.06.019zbMath1395.91423OpenAlexW2438521089MaRDI QIDQ1752186

Yufei Sun, Kok Lay Teo, Grace Aw, R. C. Loxton

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.06.019

zbMATH Keywords

optimal controlportfolio optimizationpension fundgradient-based optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Numerical methods based on nonlinear programming (49M37) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Non-zero-sum stochastic differential reinsurance and investment games with default risk ⋮ Probability maximization via Minkowski functionals: convex representations and tractable resolution ⋮ Approximate methods for solving chance-constrained linear programs in probability measure space ⋮ Distributionally robust multi-period portfolio selection subject to bankruptcy constraints ⋮ Financial risk contagion and optimal control ⋮ Control parameterization approach to time-delay optimal control problems: a survey ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Communication and personal selection of pension saver's financial risk ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty ⋮ Novel utility-based life cycle models to optimise income in retirement ⋮ A sparse chance constrained portfolio selection model with multiple constraints

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