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A robust optimization approach to pension fund management

Author

Listed:
  • Garud Iyengar
  • Alfred Ka Chun Ma

    (Department of Finance)

Abstract

In this article, we propose a robust optimization-based framework for defined benefit pension fund management. We show that this framework allows one to flexibly model many features of the pension fund management problem. Our approach is a computationally tractable alternative to the stochastic programming-based approaches. We illustrate the important features of the robust approach using a specific numerical example.

Suggested Citation

  • Garud Iyengar & Alfred Ka Chun Ma, 2010. "A robust optimization approach to pension fund management," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 163-177, June.
    • Handle: RePEc:pal:assmgt:v:11:y:2010:i:2:d:10.1057_jam.2010.9
    DOI: 10.1057/jam.2010.9
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    References listed on IDEAS

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    1. Chang,Fwu-Ranq, 2009. "Stochastic Optimization in Continuous Time," Cambridge Books, Cambridge University Press, number 9780521541947, October.
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    7. Stewart C. Myers & Nicholas S. Majluf, 1984. "Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have," NBER Working Papers 1396, National Bureau of Economic Research, Inc.
    8. repec:dgr:rugsom:00a52 is not listed on IDEAS
    9. Vlerk, Maarten H. van der & Klein Haneveld, W.K. & Drijver, S.J., 2000. "Asset liability management modeling using multi-stage mixed-integer stochastic programming," Research Report 00A52, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
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    11. G. Consigli & M. Dempster, 1998. "Dynamic stochastic programmingfor asset-liability management," Annals of Operations Research, Springer, vol. 81(0), pages 131-162, June.
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    Cited by:

    1. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.

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