ALM model for pension funds : numerical results for a prototype model
AbstractA multistage mixed-integer stochastic programming model is formulated for an Asset Liability Management problem for pension funds. Since these models are too difficult to solve for realistically sized problems, a heuristic is described. Numerical results for several instances of a prototype model are presented and discussed.
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Bibliographic InfoPaper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 02A44.
Date of creation: 2002
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