Chance-constrained optimization for pension fund portfolios in the presence of default risk
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Publication:1752186
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
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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