Multi-stage Stochastic Programming Asset/Liability Management Model with VaR Constraint at the Social Security Organization
Objective: Optimizing asset allocation at the asset class level and measuring the insolvency risk of the Social Security Organization (SSO)by considering the value at risk constraint. Methods: At first we hand-collect the book value of assets for the SSO using its financial statements from 2001 thro...
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | FA |
| Publicado: |
University of Tehran
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/35037981391a49ccbf2d984dea8fbbe1 |
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