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Previous issue date: 2014-12-18 / In this dissertation we discuss models and solution methods of stochastic programs to solve ALM problmes for pension funds. We will provide the model from Drijver et al. based on Multistage Mixed-integer Stochastic Programming. A case study based on simulation for an ALM problem will be presented / Nesta dissertação discutiremos modelos e métodos de soluções de programação estocástica para resolver problemas de ALM em fundos de pensão. Apresentaremos o modelo de (Drijver et al.), baseado na programação estocástica multiestágios inteira-mista. Um estudo de caso para um problema de ALM será apresentado usando simulação de cenários.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/13859 |
| Date | 18 December 2014 |
| Creators | Varanis, Luciano Pereira |
| Contributors | De la Cruz, Hugo, Evsukoff, Alexandre Gonçalves, Escolas::EMAp, Guigues, Vincent Gérard Yannick |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | Portuguese |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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