Chance-constrained optimization for pension fund portfolios in the presence of default risk

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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...

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Bibliographic Details
Main Authors:	Sun, Y., Aw, E., Loxton, R., Teo, Kok Lay
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2016
Online Access:	http://hdl.handle.net/20.500.11937/5038

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