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• W104760452 abstract "Leading pension plans employ asset and liability management systems for optimizing their strategic decisions. The multi-stage models link asset allocation decisions with payments to beneficiaries, changes to plan policies and related issues, in order to maximize the plan’s surplus within a given risk tolerance. Temporal aspects complicate the problem but give rise to special opportunities for dynamic investment strategies. Within these models, the portfolio must be re-revised in the face of transaction and market impact costs. The re-balancing problem is posed as a generalized network with side conditions. We develop a specialized algorithm for solving the resulting problem. A real-world pension example illustrates the concepts." @default.
• W104760452 created "2016-06-24" @default.
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• W104760452 date "2002-01-01" @default.
• W104760452 modified "2023-10-15" @default.
• W104760452 title "Rebalancing Strategies for Long-Term Investors" @default.
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• W104760452 doi "https://doi.org/10.1007/978-1-4757-3613-7_2" @default.
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