A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
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Publication:2402577
DOI10.1007/s11081-016-9316-3zbMath1370.90305OpenAlexW2315512094MaRDI QIDQ2402577
Miguel A. Lejeune, Marcelo Scherer Perlin, Alan Delgado de Oliveira, Guilherme Ribeiro de Macedo, Tiago Pascoal Filomena
Publication date: 8 September 2017
Published in: Optimization and Engineering (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10183/196892
Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)
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