Sciweavers

ANOR
2010
106views more  ANOR 2010»
13 years 11 months ago
An ALM model for pension funds using integrated chance constraints
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recou...
Willem K. Klein Haneveld, Matthijs H. Streutker, M...