The main goal of a pension fund manager is sustainability. We propose an Asset and
Liability Management model structured as a multi-stage stochastic programming problem …

A pension fund manager typically decides the allocation of the pension fund assets taking
into account a long-term sustainability goal. Many asset and liability management models, in …

In this paper, we develop a portfolio optimization method to maximize the performance of a
fixed income portfolio. To achieve this aim, we define a two-step optimization problem where …

This paper considers an extension of the common asset universe of a pension fund to
investment certificates. Investment certificates are a class of structured products particularly …

In this paper, we examine the use of conditional expectation, either to reduce the
dimensionality of large-scale portfolio problems or to propose alternative reward–risk …

This paper focuses on classical portfolio strategies applied to five countries, which are
Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS …

144 ISSN 2786-7978; eISSN 2786-7986. SCIENTIA FRUCTUOSA. 2024. № 3 corporate
Ukrainian Eurobonds; decreesing of the sovereign risk statistically accompanied with …

The purpose of the study is to examine bond characteristics, bond pricing and risks related
to bonds. In addition, this study focuses on how credit rating announcements affect …

This thesis studies factor investing in Nordic corporate bond markets. The countries selected
into the scope are Sweden, Norway, Finland and Denmark with the time period of 2010 …

Brazil is one of the biggest agricultural producers in the world, and the uncontested leader in
sugarcane production. One main by-product of sugarcane is bagasse which has a high …