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Abstract: Decision making in managing the asset and liability structure of a pension fund can be supported by stochastic dynamic optimization. We discuss our model, which is based on data analysis and forecast for the asset-side as well as a simulation model for the liability side. The core of our decision support system consists of the following building blocks: • a set of securities, • a pricing module based on a multifactor Markov model to derive expected returns of securities, • a... (Update)
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BibTeX entry: (Update)
G.Ch. Pflug and A. ' Swietanowski. Dynamic asset allocation under uncertainty for pension fund management. Technical report Aurora TR1998--15, Vienna University, 1998. To appear in Control and Cybernetics. http://citeseer.ist.psu.edu/article/pflug98dynamic.html More
@techreport{ ch98dynamic,
author = "G.Ch. Pflug and A. Swietanowski",
title = "Dynamic asset allocation under uncertainty for pension fund management",
number = "Aurora TR1998--15",
institution 0 "Vienna University",
note = "To appear in Control and Cybernetics",
year = "1998",
url = "citeseer.ist.psu.edu/article/pflug98dynamic.html" }
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