A robust optimization approach to pension fund management

Garud Iyengar and Alfred Ka Chun Ma
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Alfred Ka Chun Ma: Department of Finance

Journal of Asset Management, 2010, vol. 11, issue 2, No 6, 163-177

Abstract: Abstract In this article, we propose a robust optimization-based framework for defined benefit pension fund management. We show that this framework allows one to flexibly model many features of the pension fund management problem. Our approach is a computationally tractable alternative to the stochastic programming-based approaches. We illustrate the important features of the robust approach using a specific numerical example.

Keywords: asset-liability management; pension fund management; robust optimization (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1057/jam.2010.9

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