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A robust optimization approach to pension fund management

Author

Listed:
  • Garud Iyengar
  • Alfred Ka Chun Ma

    (Department of Finance)

Abstract

In this article, we propose a robust optimization-based framework for defined benefit pension fund management. We show that this framework allows one to flexibly model many features of the pension fund management problem. Our approach is a computationally tractable alternative to the stochastic programming-based approaches. We illustrate the important features of the robust approach using a specific numerical example.

Suggested Citation

  • Garud Iyengar & Alfred Ka Chun Ma, 2010. "A robust optimization approach to pension fund management," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 163-177, June.
    • Handle: RePEc:pal:assmgt:v:11:y:2010:i:2:d:10.1057_jam.2010.9
    DOI: 10.1057/jam.2010.9
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    References listed on IDEAS

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    8. repec:dgr:rugsom:00a52 is not listed on IDEAS
    9. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
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    Cited by:

    1. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.

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