Volume 11, issue 2-3, June 2010

Special Issue: Asset and Liability Management/Liability-Driven Investment for Pension Funds

8 articles in this issue

Asset and liability management/liability-driven investment for pension funds

Authors
- Gautam Mitra
- Elena Medova
- Content type: Guest Editorial
- Published: 17 July 2010
- Pages: 71 - 72
Asset liability management modelling with risk control by stochastic dominance

Authors
- Xi Yang
- Jacek Gondzio
- Andreas Grothey
- Content type: Original Article
- Published: 17 July 2010
- Pages: 73 - 93
Backtesting short-term treasury management strategies based on multi-stage stochastic programming

Authors
- Robert Ferstl
- Alex Weissensteiner
- Content type: Original Article
- Published: 17 July 2010
- Pages: 94 - 112
Long-term interest rates and consol bond valuation

Authors
- Michael A H Dempster
- Elena A Medova
- Michael Villaverde
- Content type: Original Article
- Published: 17 July 2010
- Pages: 113 - 135
Duration-enhancing overlay strategies for defined benefit pension plans

Authors
- John M Mulvey
- Woo Chang Kim
- Yi Ma
- Content type: Original Article
- Published: 17 July 2010
- Pages: 136 - 162
A robust optimization approach to pension fund management

Authors
- Garud Iyengar
- Alfred Ka Chun Ma
- Content type: Original Article
- Published: 17 July 2010
- Pages: 163 - 177
Alternative decision models for liability-driven investment

Authors
- Katharina Schwaiger
- Cormac Lucas
- Gautam Mitra
- Content type: Original Article
- Published: 17 July 2010
- Pages: 178 - 193
A liability-relative drawdown approach to pension asset liability management

Authors
- Arjan Berkelaar
- Roy Kouwenberg
- Content type: Original Article
- Published: 17 July 2010
- Pages: 194 - 217

Volume 11, issue 2-3, June 2010

Special Issue: Asset and Liability Management/Liability-Driven Investment for Pension Funds

Asset and liability management/liability-driven investment for pension funds

Asset liability management modelling with risk control by stochastic dominance

Backtesting short-term treasury management strategies based on multi-stage stochastic programming

Long-term interest rates and consol bond valuation

Duration-enhancing overlay strategies for defined benefit pension plans

A robust optimization approach to pension fund management

Alternative decision models for liability-driven investment

A liability-relative drawdown approach to pension asset liability management

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Volume 11, issue 2-3, June 2010

Special Issue: Asset and Liability Management/Liability-Driven Investment for Pension Funds

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