Optimal chance-constrained pension fund management through dynamic stochastic control
Davide Lauria, Giorgio Consigli, Francesca Maggioni
| Year of publication: |
2022
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|---|---|
| Authors: | Lauria, Davide ; Consigli, Giorgio ; Maggioni, Francesca |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 1436-6304, ZDB-ID 1467029-X. - Vol. 44.2022, 3, p. 967-1007
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| Subject: | Asset-liability management | Chance constraints | Pension funds | Stochastic control | Pensionskasse | Pension fund | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Management | Risikomanagement | Risk management |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00291-022-00673-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440687