Proceedings of the 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 Lücken1, Benjamín Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra
1National University
Corresponding Author
Christian Daniel Von Lücken
Available Online October 2006.
DOI
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.

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
10.2991/jcis.2006.180
ISSN
1951-6851
DOI
10.2991/jcis.2006.180How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 573
EP  - 576
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.180
DO  - 10.2991/jcis.2006.180
ID  - VonLücken2006/10
ER  -