Chance-constrained optimization for pension fund portfolios in the presence of default risk
In this paper, we consider the portfolio optimization problem for a pension fund consisting of various government and corporate bonds. The aim of the problem is to maximize the fund's cash position at the end of the time horizon, while allowing for the possibility of bond defaults. We model thi...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/5038 |