ALM model for pension funds: numerical results for a prototype model

A multistage mixed-integer stochastic programming model is formulated for an Asset Liability Management problem for pension funds. Since these models are too difficult to solve for realistically sized problems, a heuristic is described. Numerical results for several instances of a prototype model are presented and discussed.

[1]  T. Alderweireld,et al.  A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.

[2]  Nikolaos V. Sahinidis,et al.  An Approximation Scheme for Stochastic Integer Programs Arising in Capacity Expansion , 2003, Oper. Res..

[3]  Roy Kouwenberg,et al.  Scenario generation and stochastic programming models for asset liability management , 2001, Eur. J. Oper. Res..

[4]  Maarten H. van der Vlerk,et al.  Asset liability management modeling using multi-stage mixed-integer stochastic programming , 2000 .

[5]  H. A. K. Haneveld.  Solvabiliteitscriteria voor pensioenfondsen , 1999 .

[6]  Maarten H. van der Vlerk,et al.  Stochastic integer programming:General models and algorithms , 1999, Ann. Oper. Res..

[7]  T. Andersen.  THE ECONOMETRICS OF FINANCIAL MARKETS , 1998, Econometric Theory.

[8]  L. Effron.  What Rate of Return Can You Reasonably Expect … or What Can the Long Run Tell Us about the Short Run? , 1997 .

[9]  G. Boender.  A hybrid simulation/optimisation scenario model for asset/liability management , 1997 .

[10]  Peter L. Bernstein,et al.  What Rate of Return Can You Reasonably Expect… or What Can the Long Run Tell Us about the Short Run? , 1997 .

[11]  C. Boender,et al.  Modelling and management of assets and liabilities of pension plans in The Netherlands , 1996 .

[12]  C. Dert.  Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach , 1995 .

[13]  M. Kritzman.  What Practitioners Need to Know . . . About Time Diversification (corrected) , 2015 .

[14]  Mark Kritzman,et al.  What Practitioners Need to Know , 1994 .

[15]  Mark Kritzman.  What practitioners need to know . . . About time diversification , 1994 .

[16]  René M. Stulz,et al.  Global Financial Markets and the Risk Premium on U.S. Equity , 1992 .

[17]  Alan G. White,et al.  Pricing Interest-Rate-Derivative Securities , 1990 .

[18]  J. Hull.  Options, Futures, and Other Derivatives , 1989 .

[19]  R. Haugen.  Modern investment theory , 1986 .

[20]  Willem K. Klein Haneveld.  Integrated Chance Constraints , 1986 .

[21]  C. Sims.  MACROECONOMICS AND REALITY , 1977 .

[22]  Oldrich A. Vasicek.  An equilibrium characterization of the term structure , 1977 .

[23]  Hans-Jürgen Zimmermann,et al.  On stochastic integer programming , 1975, Z. Oper. Research.

[24]  P. Bernstein.  What Rate of Return Can You "Reasonably" Expect? , 1973 .