Summary
We describe the problem of optimal asset allocation for a pension fund as a stochastic dynamic programming problem. We discuss the model generation, the formulation of the objective and solution methods. The original problem is nonconvex, but convex approximations can be found.
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© 2000 Springer-Verlag Berlin Heidelberg
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Pflug, G.C., Świȩtanowski, A. (2000). Asset-liability Optimization for Pension Fund Management. In: Inderfurth, K., Schwödiauer, G., Domschke, W., Juhnke, F., Kleinschmidt, P., Wäscher, G. (eds) Operations Research Proceedings 1999. Operations Research Proceedings 1999, vol 1999. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58300-1_22
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DOI: https://doi.org/10.1007/978-3-642-58300-1_22
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-67094-0
Online ISBN: 978-3-642-58300-1
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