CORC Report TR-2006-05 Robust Pension Fund Management
نویسندگان
چکیده
We propose a robust-optimization based model for pension fund management. This model is able to incorporate correlation between the equity and fixed income markets, a more realistic term structure, and also some aspects of the corporate structure of the sponsoring firm such as the cost of capital. Moreover, the model is computationally tractable unlike the sampling-based stochastic programming that suffer from the curse of dimensionality. We report the results of a numerical study that illustrates the capabilities and the versatility of the model.
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تاریخ انتشار 2006