A liability tracking approach to long term management of pension funds
Masashi Ieda; Takashi Yamashita; Yumiharu Nakano
| Year of publication: |
2013
|
|---|---|
| Authors: | Ieda, Masashi ; Yamashita, Takashi ; Nakano, Yumiharu |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 3, p. 392-400
|
| Subject: | Pension Fund Management | Long Term Portfolio Optimization | Quadratic Hedging | Stochastic Optimal Control | Hamilton-Jacobi-Bellman Equations | LQG Control | Pensionskasse | Pension fund | Portfolio-Management | Portfolio selection | Hedging | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010239531