An ALM model for pension funds using integrated chance constraints

Annals of Operations Research

Volumn 177, Issue 1, 2010, Pages 47-62

  Haneveld, Willem K Klein ^a   Streutker, Matthijs H ^a   van der Vlerk, Maarten H ^a  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

ALM; Integrated chance constraints; Modeling; Multistage mixed integer recourse

Indexed keywords

EID: 77952543802     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-009-0594-4     Document Type: Article

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