Optimal pension fund composition for an Italian private pension plan sponsor
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DOI: 10.1007/s10287-016-0263-4
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Cited by:
- Miloš Kopa & Tomáš Rusý, 2021. "A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision," Annals of Operations Research, Springer, vol. 299(1), pages 241-271, April.
- Johan G. Andréasson & Pavel V. Shevchenko, 2017. "Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement," Risks, MDPI, vol. 5(3), pages 1-21, September.
- Markéta Horejšová & Sebastiano Vitali & Miloš Kopa & Vittorio Moriggia, 2020. "Evaluation of scenario reduction algorithms with nested distance," Computational Management Science, Springer, vol. 17(2), pages 241-275, June.
- Milos Kopa & Kristina Sutiene & Audrius Kabasinskas & Ausrine Lakstutiene & Aidas Malakauskas, 2022. "Dominance Tracking Index for Measuring Pension Fund Performance with Respect to the Benchmark," Sustainability, MDPI, vol. 14(15), pages 1-28, August.
- Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali, 2020. "Long-term individual financial planning under stochastic dominance constraints," Annals of Operations Research, Springer, vol. 292(2), pages 973-1000, September.
- Sebastiano Vitali & Vittorio Moriggia, 2021. "Pension fund management with investment certificates and stochastic dominance," Annals of Operations Research, Springer, vol. 299(1), pages 273-292, April.
- Moriggia, Vittorio & Kopa, Miloš & Vitali, Sebastiano, 2019. "Pension fund management with hedging derivatives, stochastic dominance and nodal contamination," Omega, Elsevier, vol. 87(C), pages 127-141.
- Sebastiano Vitali & Ruth Domínguez & Vittorio Moriggia, 2021. "Comparing stage-scenario with nodal formulation for multistage stochastic problems," 4OR, Springer, vol. 19(4), pages 613-631, December.
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Keywords
Pension fund; Optimal policy; Multistage stochastic programming; Cluster analysis;All these keywords.
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