Navegação Produção Científica por Assunto "Fundos de pensão : Brasil"
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A multistage stochastic programming asset-liability management model : an application to the Brazilian pension fund industry
(2017) [Artigo de periódico]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 ...