Pension fund management with investment certificates and stochastic dominance

DOI10.1007/s10479-020-03855-7zbMath1473.91015OpenAlexW3105398219MaRDI QIDQ2241065

Vittorio Moriggia, Sebastiano Vitali

Publication date: 8 November 2021

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

Full work available at URL: https://doi.org/10.1007/s10479-020-03855-7

zbMATH Keywords

stochastic programming sensitivity analysis pension fund portfolio selection asset and liability management discrete pricing investment certificates

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15) Actuarial mathematics (91G05)

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