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ALM models based on second order stochastic dominance |
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| Authors: | Alwohaibi Maram Roman Diana |
| Institution: | 1.Department of Mathematics, Brunel University London, Uxbridge, UB8 3PH, UK ;2.Brunel University College of Engineering Design and Physical Sciences, London, UK ; |
| Abstract: | Computational Management Science - We propose asset and liability management models in which the risk of underfunding is modelled based on the concept of stochastic dominance. Investment decisions... |
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