scientific article; zbMATH DE number 1462623

zbMATH Open0972.91039MaRDI QIDQ4486940FDOQ4486940

Authors: Georg Ch. Pflug, Artur Świȩtanowski 

Publication date: 21 June 2000

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stochastic dynamic optimizationasset-liability managementfinancial modelingpension fund management

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic programming (90C15)

Cited In (11)

• Stochastic programming framework for Lithuanian pension payout modelling
• Simulation-based optimization of social security systems under uncertainty
• Pension fund management with investment certificates and stochastic dominance
• On integrated chance constraints in ALM for pension funds
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• Structured products for pension funds
• Asset allocation for a DC pension plan with learning about stock return predictability
• Optimal chance-constrained pension fund management through dynamic stochastic control
• Twenty years of linear programming based portfolio optimization
• Asset-liability management for Czech pension funds using stochastic programming

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