title: |
A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management |
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publication: |
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part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.180 (how to use a DOI) | |
author(s): |
Christian Daniel Von Lücken, Benjamín Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra |
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corresponding author: |
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publication date: |
October 2006 |
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keywords: |
Artificial Intelligence, Multi-Objective Evolutionary Algorithms, Multi-objective Optimization, Decision making support systems, Asset Liability Management |
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abstract: |
This paper describes a decision making support system developed for asset liability management of a Paraguayan pension fund company. The model combines a parallel Multi-objective Evolutionary Algorithm and stochastic scenario generators to find good asset allocations that optimize several conflicting criteria. The simple but powerful model has shown to be useful to aid decision maker in practical situations. |
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copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |