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This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset–liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic...

robust optimization Pension scheme asset–liability model Sharpe ratio Sharpe–Tint Bayes–Stein Black–Litterman /dk/atira/pure/subjectarea/asjc/2000 name=Economics, Econometrics and Finance(all)

This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset–liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic...

robust optimization Pension scheme asset–liability model Sharpe ratio Sharpe–Tint Bayes–Stein Black–Litterman /dk/atira/pure/subjectarea/asjc/2000 name=Economics, Econometrics and Finance(all)