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The isometries of the cut, metric and hypermetric cones

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  • Deza, Antoine
  • Goldengorin, Boris
  • Pasechnik, Dmitrii V.

    (Groningen University)

Abstract

We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with an outline of a special-purpose heuristic, which is used to approximately solve the resulting model which contains many binary decision variables.

Suggested Citation

  • Deza, Antoine & Goldengorin, Boris & Pasechnik, Dmitrii V., 2003. "The isometries of the cut, metric and hypermetric cones," Research Report 03A24, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:03a24
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    File URL: http://irs.ub.rug.nl/ppn/252291468
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