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A hybrid simulation/optimisation scenario model for asset/liability management

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  • Boender, Guus C. E.
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-3SWY0P1-10/2/9f99012b5dbb87afe7ae2491df4b2c96
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 99 (1997)
    Issue (Month): 1 (May)
    Pages: 126-135

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    Handle: RePEc:eee:ejores:v:99:y:1997:i:1:p:126-135

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    Web page: http://www.elsevier.com/locate/eor

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    1. Benartzi, Shlomo & Thaler, Richard H, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 73-92, February.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Huss, William R., 1988. "A move toward scenario analysis," International Journal of Forecasting, Elsevier, vol. 4(3), pages 377-388.
    4. Bunn, Derek W. & Salo, Ahti A., 1993. "Forecasting with scenarios," European Journal of Operational Research, Elsevier, vol. 68(3), pages 291-303, August.
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    Cited by:
    1. Arjen Siegmann, 2008. "Minimum Funding Ratios for Defined-Benefit Pension Funds," DNB Working Papers 180, Netherlands Central Bank, Research Department.
    2. Streutker, Matthijs & van der Vlerk, Maarten & Klein Haneveld, Wim, 2007. "Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds," Research Report 07005, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Vlerk, Maarten H. van der & Klein Haneveld, W.K. & Drijver, S.J., 2000. "Asset liability management modeling using multi-stage mixed-integer stochastic programming," Research Report 00A52, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. Drijver, Sibrand J. & Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "ALM model for pension funds : numerical results for a prototype model," Research Report 02A44, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

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