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Pension Fund Asset Allocation: A Mean-Variance Model with CVaR Constraints

Yibing Chen, Xiaolei Sun, Jianping Li. Pension Fund Asset Allocation: A Mean-Variance Model with CVaR Constraints. In Petros Koumoutsakos, Michael Lees, Valeria V. Krzhizhanovskaya, Jack J. Dongarra, Peter M. A. Sloot, editors, International Conference on Computational Science, ICCS 2017, 12-14 June 2017, Zurich, Switzerland. Volume 108 of Procedia Computer Science, pages 1302-1307, Elsevier, 2017. [doi]

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Yibing Chen

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Xiaolei Sun

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Jianping Li

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