Optimal pension fund management under multi-period risk minimization

DOI10.1007/s10479-008-0405-3zbMath1163.91409OpenAlexW1993347857WikidataQ59255002 ScholiaQ59255002MaRDI QIDQ1026572

Georg Ch. Pflug, Soňa Kilianová

Publication date: 25 June 2009

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

Full work available at URL: https://doi.org/10.1007/s10479-008-0405-3

zbMATH Keywords

average value-at-riskmulti-period risk measurelarge-scale linear programmingpension plan

Mathematics Subject Classification ID

Related Items (7)

How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ Robustness in stochastic programs with risk constraints ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ Evaluation of scenario reduction algorithms with nested distance ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function

Cites Work

• Coherent Measures of Risk
• ALM Modeling for Dutch Pension Funds in an Era of Pension Reform

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