Multi-stage Stochastic Programming Asset/Liability Management Model with VaR Constraint at the Social Security Organization
Objective: Optimizing asset allocation at the asset class level and measuring the insolvency risk of the Social Security Organization (SSO)by considering the value at risk constraint. Methods: At first we hand-collect the book value of assets for the SSO using its financial statements from 2001 thro...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2021-05-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_81940_434ab08ef70f6ecbbd084bc21d2b7f89.pdf |