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Asset/Liability Management for Pension Funds Using CVaR Constraints

Author

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  • ERIK BOGENTOFT
  • H. EDWIN ROMEIJN
  • STANISLAV URYASEV

Abstract

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Suggested Citation

  • Erik Bogentoft & H. Edwin Romeijn & Stanislav Uryasev, 2001. "Asset/Liability Management for Pension Funds Using CVaR Constraints," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(1), pages 57-71, April.
    • Handle: RePEc:eme:jrfpps:eb043483
    DOI: 10.1108/eb043483
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    Cited by:

    1. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 18792, Victoria University of Wellington, School of Economics and Finance.
    2. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 18552, Victoria University of Wellington, School of Economics and Finance.
    3. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
    4. Maria Cristina Arcuri & Gino Gandolfi & Fabrizio Laurini, 2023. "Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 557-581, June.

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