[en] TACTICAL ASSET ALLOCATION FOR OPEN PENSION FUNDS USING MULTI-STAGE STOCHASTIC PROGRAMMING

[en] TACTICAL ASSET ALLOCATION FOR OPEN PENSION FUNDS USING MULTI-STAGE STOCHASTIC PROGRAMMING

[pt] Uma importante questão que se coloca para entidades abertas de previdência complementar e sociedades seguradoras que operam previdência complementar é a definição de uma gestão dos ativos e passivos (do inglês ALM – Asset and Liability Management). Tal questão se torna mais relevante em um cená...

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Bibliographic Details
Main Author:	THIAGO BARATA DUARTE
Other Authors:	ALVARO DE LIMA VEIGA FILHO
Language:	pt
Published:	MAXWELL 2016
Subjects:	[pt] PREVIDENCIA COMPLEMENTAR [en] RETIREMENT SAVING ACCOUNT [pt] PROGRAMACAO ESTOCASTICA [en] STOCHASTIC PROGRAMMING [pt] CVAR [pt] RISCO DE INSOLVENCIA [en] SOLVENCY RISK [pt] ALM [en] ALM [pt] ALOCACAO OTIMA [en] OPTIMAL ALLOCATION [pt] MEDIDA DE RISCO [en] RISK MEASURE [pt] QUANTIFICACAO DE RISCO [en] RISK QUANTIFICATION [pt] REQUERIMENTO DE CAPITAL [en] CAPITAL REQUIREMENT [pt] GESTAO DE ATIVOS FINANCEIROS E PASSIVOS ATUARIAIS [en] MANAGEMENT OF FINANCIAL ASSETS AND ACTUARIAL LIABILITIES
Online Access:	https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26820@1 https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26820@2 http://doi.org/10.17771/PUCRio.acad.26820

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