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An ALM model for pension funds using integrated chance constraints
16 references·1 citing·38 second hop
An ALM model for pension funds using integrated chance constraints (2009)An ALM model for pension funds using inte…Stochastic Programming (2010)Stochastic ProgrammingIntegrated Chance Constraints: Reduced Forms and an Algorithm (2006)Integrated Chance Constraints…Applications of Stochastic Programming (2005)Applications of Stochastic Pr…CVaR models with selective hedging for international asset allocation (2002)CVaR models with selective he…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic Constrained Optimization (2000)Probabilistic Constrained Opt…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Stochastic integer programming:General models and algorithms (1999)Stochastic integer programmin…SLP-IOR: An interactive model management system for stochastic linear programs (1996)SLP-IOR: An interactive model…Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach (1995)Asset Liability Management fo…Stochastic programming with simple integer recourse (1993)Stochastic programming with s…Handbooks in operations research and management science (1989)Handbooks in operations resea…Duality in Stochastic Linear and Dynamic Programming (1986)Duality in Stochastic Linear …Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system (2020)Automatic balance mechanisms …Coherent Measures of Risk (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)The integer L-shaped method for stochastic integer programs with complete recourse (1993)Stochastic Programming (1995)A class of stochastic programs withdecision dependent random elements (1998)Stochastic programming with integer variables (2003)A two‐stage procurement model for humanitarian relief supply chains (2011)Chance-Constrained Programming (1959)Linear Programming Under Uncertainty (2004)Assessing solution quality in stochastic programs (2006)Financial scenario generation for stochastic multi-stage decision processes as facility location problems (2006)Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems (2010)Introduction to Stochastic Programming (2011)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Closed-Loop Supply Chain Models with Product Remanufacturing (2004)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Perspectives in supply chain risk management (2006)Different Approaches to Risk Estimation in Portfolio Theory (2004)Minimizing CVaR and VaR for a portfolio of derivatives (2005)Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR (2010)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)
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1996
SLP-IOR: An interactive model management system for stochastic linear programs
49 cited

Cited by

  • 2020Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system20 cited