Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?

DOI10.1016/j.insmatheco.2019.02.009zbMath1411.91282OpenAlexW2919457848MaRDI QIDQ2415973

Tomás Gutierrez, Bernardo K. Pagnoncelli, Davi Michel Valladão, Arturo O. Cifuentes

Publication date: 23 May 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.02.009

Mathematics Subject Classification ID

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Cites Work

• On the effectiveness of scenario generation techniques in single-period portfolio optimization
• Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• 60 years of portfolio optimization: practical challenges and current trends

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