An asset and liability management (ALM) model using integrated chance constraints
This paper discusses and develops a Two Stage Integrated Chance Constraints Programming for the Employees Provident Fund Malaysia. The main aim is to manage, that is, balance assets and liabilities. Integrated Chance Constraints not only limit the event of underfunding but also the amount of underfu...
| Main Authors: | , , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
American Institute of Physics Inc.
2014
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| Subjects: | |
| Online Access: | View Fulltext in Publisher View in Scopus |