Asset/Liability Management for Pension Funds Using CVaR Constraints
Main Authors: | ERIK, BOGENTOFT, H., EDWIN ROMEIJN, STANISLAV, URYASEV |
---|---|
Format: | text |
Language: | eng |
Published: |
Emerald
2001
|
Similar Items
-
Jump liquidity risk and its impact on CVaR
by: Harry, Zheng, et al.
Published: (2008) -
From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
by: Chen, W., et al.
Published: (2010) -
Stochastic Optimization Problems with CVaR Risk Measure and Their Sample Average Approximation
by: Meng, F., et al.
Published: (2010) -
Geographical diversification in wheat farming: a copula-based CVaR framework
by: Ryan, Larsen, et al.
Published: (2015) -
A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints
by: Qin, Quande, et al.
Published: (2014)