Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
Vittorio Moriggia, Miloš Kopa, Sebastiano Vitali
| Year of publication: |
2019
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|---|---|
| Authors: | Moriggia, Vittorio ; Kopa, Miloš ; Vitali, Sebastiano |
| Published in: |
Omega : the international journal of management science. - Oxford [u.a.] : Elsevier, ISSN 0305-0483, ZDB-ID 124502-8. - Vol. 87.2019, p. 127-141
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| Subject: | Stochastic programming | Portfolio selection | Sensitivity analysis | Asset and liability management | Pension fund | Hedging derivatives | Contamination | Portfolio-Management | Pensionskasse | Hedging | Theorie | Theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.omega.2018.08.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012063408