Listar Ciencias Sociales Aplicadas por autor "Oliveira, Alan Delgado de"
Mostrando ítems 1-2 de 2
-
A multistage stochastic programming asset-liability management model : an application to the Brazilian pension fund industry
Oliveira, Alan Delgado de; Filomena, Tiago Pascoal; Marcelo Scherer Perlin; Miguel Lejeune; Guilherme Ribeiro de Macedo (2017) [Artículo 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 ... -
Performance comparison of scenario-generation methods applied to a stochastic optimization asset-liability management model
Oliveira, Alan Delgado de; Filomena, Tiago Pascoal; Righi, Marcelo Brutti (2018) [Artículo de periódico]In this paper, we provide an empirical discussion of the differences among some scenario tree-generation approaches for stochastic programming. We consider the classical Monte Carlo sampling and Moment matching methods. ...