A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management
Christian von Lücken, Benjamı́n Barán, Fabián Laufer, Margarita Rojas, Walter Delgado, Mariano Escurra · Advances in intelligent systems research/Advances in Intelligent Systems Research · 2006
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.