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A robust optimization approach to pension fund management

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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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/jam.2010.9

Publication date: June 1, 2010

pal/jam/2010/00000011/F0020002/art00006
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