Browsing by Author "Guilherme Ribeiro de Macedo"
Now showing items 1-1 of 1
-
A multistage stochastic programming asset-liability management model : an application to the Brazilian pension fund industry
Oliveira, Alan Delgado de; Filomena, Tiago Pascoal; Marcelo Scherer Perlin; Miguel Lejeune; Guilherme Ribeiro de Macedo (2017) [Journal article]This paper proposes a multistage stochastic programming approach for the asset-liability management of Brazilian pension funds. We generate asset price scenarios with stochastic differential equations—Geometric Brownian ...