A multistage risk-averse stochastic programming model for personal savings accrual : the evidence from Lithuania
Audrius Kabašinskas, Francesca Maggioni, Kristina Šutienė, Eimutis Valakevičius
| Year of publication: |
2019
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|---|---|
| Authors: | Kabašinskas, Audrius ; Maggioni, Francesca ; Šutienė, Kristina ; Valakevičius, Eimutis |
| Published in: |
Annals of operations research ; volume 279, numbers 1/2 (August 2019). - New York, NY, USA : Springer. - 2019, p. 43-70
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| Subject: | Pension system modeling | Multistage stochastic integer programming | Alpha-stable distribution | Time consistency | CVaR | Target date funds | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Litauen | Lithuania | Portfolio-Management | Portfolio selection | Pensionskasse | Pension fund | Altersvorsorge | Retirement provision | Sparen | Savings | Gesetzliche Rentenversicherung | Public pension system | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3100-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012109495