9th Joint International Conference on Information Sciences (JCIS-06)

A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management

Authors
Christian Daniel Von Lücken 0, Benjamín Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra
Corresponding Author
Christian Daniel Von Lücken
0National University
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.180How to use a DOI?
Keywords
Artificial Intelligence, Multi-Objective Evolutionary Algorithms, Multi-objective Optimization, Decision making support systems, Asset Liability Management
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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This is an open access article distributed under the CC BY-NC license.

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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.180How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Christian Daniel Von Lücken
AU  - Benjamín Barán
AU  - Fabián Laufer
AU  - Margarita Rojas
AU  - Walter Delgado
AU  - Mariano Escurra
PY  - 2006/10
DA  - 2006/10
TI  - A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
UR  - https://doi.org/10.2991/jcis.2006.180
DO  - https://doi.org/10.2991/jcis.2006.180
ID  - VonLücken2006/10
ER  -