Chance-constrained optimization for pension fund portfolios in the presence of default risk.
Yufei SunGrace AwRyan C. LoxtonKok Lay TeoPublished in: Eur. J. Oper. Res. (2017)
Keyphrases
- chance constrained
- robust optimization
- portfolio selection
- chance constraints
- portfolio optimization
- stochastic programming
- chance constrained programming
- multistage
- mathematical programming
- investment decisions
- investment strategies
- computationally tractable
- optimization problems
- decision theory
- knapsack problem
- ant colony optimization
- optimization algorithm
- linear programming
- decision making
- lot sizing
- evolutionary algorithm
- search space