The Innovest Austrian Pension Fund Financial Planning Model InnoALM
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DOI: 10.1287/opre.1080.0564
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Citations
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Cited by:
- Miloš Kopa & Tomáš Rusý, 2021. "A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision," Annals of Operations Research, Springer, vol. 299(1), pages 241-271, April.
- Ferstl, Robert & Weissensteiner, Alex, 2011.
"Asset-liability management under time-varying investment opportunities,"
Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
- Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
- Maram Alwohaibi & Diana Roman, 2018. "ALM models based on second order stochastic dominance," Computational Management Science, Springer, vol. 15(2), pages 187-211, June.
- Francisco Rivadeneyra & Oumar Dissou, 2011. "A Model of the EFA Liabilities," Discussion Papers 11-11, Bank of Canada.
- Staino, Alessandro & Russo, Emilio, 2015. "A moment-matching method to generate arbitrage-free scenarios," European Journal of Operational Research, Elsevier, vol. 246(2), pages 619-630.
- Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
- Agnieszka Karolina Konicz & David Pisinger & Alex Weissensteiner, 2016. "Optimal retirement planning with a focus on single and joint life annuities," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 275-295, February.
- Davide Lauria & Giorgio Consigli & Francesca Maggioni, 2022. "Optimal chance-constrained pension fund management through dynamic stochastic control," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(3), pages 967-1007, September.
- Lijian Wang & Daniel Béland, 2014. "Assessing the Financial Sustainability of China’s Rural Pension System," Sustainability, MDPI, vol. 6(6), pages 1-20, May.
- Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014.
"Income drawdown option with minimum guarantee,"
European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
- Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
- Alaeddine Faleh, 2011. "Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné," Working Papers hal-00561965, HAL.
- Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.
- Sebastiano Vitali & Vittorio Moriggia, 2021. "Pension fund management with investment certificates and stochastic dominance," Annals of Operations Research, Springer, vol. 299(1), pages 273-292, April.
- Gerrard, Russell & Hiabu, Munir & Kyriakou, Ioannis & Nielsen, Jens Perch, 2019. "Communication and personal selection of pension saver’s financial risk," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1102-1111.
- Chul Jang & Andrew Clare & Iqbal Owadally, 2024. "Liability-driven investment for pension funds: stochastic optimization with real assets," Risk Management, Palgrave Macmillan, vol. 26(3), pages 1-32, September.
- Christina Erlwein & Gautam Mitra & Diana Roman, 2012. "HMM based scenario generation for an investment optimisation problem," Annals of Operations Research, Springer, vol. 193(1), pages 173-192, March.
- Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2010. "No-arbitrage conditions, scenario trees, and multi-asset financial optimization," European Journal of Operational Research, Elsevier, vol. 206(3), pages 609-613, November.
- Costanza Torricelli, 2009. "Models For Household Portfolios And Life-Cycle Allocations In The Presence Of Labour Income And Longevity Risk," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0017, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Moriggia, Vittorio & Kopa, Miloš & Vitali, Sebastiano, 2019. "Pension fund management with hedging derivatives, stochastic dominance and nodal contamination," Omega, Elsevier, vol. 87(C), pages 127-141.
- Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
- William Ziemba, 2009. "Use of stochastic and mathematical programming in portfolio theory and practice," Annals of Operations Research, Springer, vol. 166(1), pages 5-22, February.
- Robert Ferstl & Alexander Weissensteiner, 2011.
"Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming,"
Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494,
Palgrave Macmillan.
- Robert Ferstl & Alex Weissensteiner, 2010. "Backtesting short-term treasury management strategies based on multi-stage stochastic programming," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 94-112, June.
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- Audrius Kabašinskas & Kristina Šutienė & Miloš Kopa & Kęstutis Lukšys & Kazimieras Bagdonas, 2020. "Dominance-Based Decision Rules for Pension Fund Selection under Different Distributional Assumptions," Mathematics, MDPI, vol. 8(5), pages 1-26, May.
- Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017. "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, vol. 23(2), pages 254-291, March.
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Keywords
scenarios; correlation matrices; pension fund planning; stochastic linear programming;All these keywords.
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