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Published in 2018 at "Journal of Pension Economics and Finance"
DOI: 10.1017/s1474747218000069
Abstract: Abstract We considered a pension fund that needs to hedge uncertain long-term liabilities. We modeled the pension fund as a robust investor facing an incomplete market and fearing model uncertainty for the evolution of its…
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Keywords:
robust hedging;
pension;
incomplete markets;
finance ... See more keywords