RT Journal Article SR Electronic T1 An Approach to Financial Planning of Retirement Pensions with Scenario-Dependent Correlation Matrixes and Convex Risk Measures JF The Journal of Retirement FD Institutional Investor Journals SP 99 OP 111 DO 10.3905/jor.2016.4.1.099 VO 4 IS 1 A1 William T. Ziemba YR 2016 UL https://pm-research.com/content/4/1/99.abstract AB The article describes an approach to asset–liability modeling using discrete time stochastic linear programming. The model uses future scenarios and optimizes the asset–liability mix subject to various constraints and is applicable to insurance companies, bank trading departments, overall bank asset–liability management, and other financial institutions. An application to the Siemens Austria pension fund, where the model has been in use since 2000, is described. The model has had considerable success and has been used by regulators to determine the effect of various possible pension fund policy changes. It has also been used by pension fund advisors who deal with uncertain assets and liabilities subject to various legal and policy constraints.TOPICS: Pension funds, legal/regulatory/public policy