A robust optimization approach to pension fund management
Publication in refereed journal


香港中文大学研究人员 ( 现职)

马家俊教授 (金融学系)

全文

数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○

引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/2Scopus source URL

其它资讯

摘要In this article, we propose a robust optimization-based framework for defined benefit pension fund management. We show that this framework allows one to flexibly model many features of the pension fund management problem. Our approach is a computationally tractable alternative to the stochastic programming-based approaches. We illustrate the important features of the robust approach using a specific numerical example. ? http://aims.cuhk.edu.hk/converis/portal/Publication/2010 Macmillan Publishers Ltd.

着者Iyengar G., Chun Ma A.K.
期刊名称Journal of Asset Management
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2010
月份6
日期1
卷号11
期次http://aims.cuhk.edu.hk/converis/portal/Publication/2-3
出版社Palgrave Macmillan Ltd.
出版地United States
页次163 - 177
国际标準期刊号1470-8http://aims.cuhk.edu.hk/converis/portal/Publication/27http://aims.cuhk.edu.hk/converis/portal/Publication/2
语言英式英语

关键词asset-liability management, pension fund management, robust optimization