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The CVaR constrained stochastic programming ALM model for defined benefit pension funds.

Manying BaiJie Ma
Published in: Int. J. Model. Identif. Control. (2009)
Keyphrases
  • stochastic programming
  • multistage
  • special case
  • cost function
  • dynamic programming
  • probability distribution
  • risk averse
  • sufficient conditions
  • theoretical framework