A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management
- Christian Daniel Von Lücken 0, Benjamín Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra
- Corresponding Author
- Christian Daniel Von Lücken
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.180How to use a DOI?
- Artificial Intelligence, Multi-Objective Evolutionary Algorithms, Multi-objective Optimization, Decision making support systems, Asset Liability Management
- 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.
- 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 -