Programação estocástica para fundos de pensão
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/13859 |
Resumo: | 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. |
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Varanis, Luciano PereiraEscolas::EMApDe la Cruz, HugoEvsukoff, Alexandre GonçalvesGuigues, Vincent Gérard Yannick2015-07-24T17:56:24Z2015-07-24T17:56:24Z2014-12-18VARANIS, Luciano Pereira. Programação estocástica para fundos de pensão. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.http://hdl.handle.net/10438/13859Nesta 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.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 presentedporALMFundo de PensãoProgramação Estocástica Linear Mista-InteiraPension FundMixed Integer Linear programMatemáticaProgramação estocásticaFundos de pensãoProgramação estocástica para fundos de pensãoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertação _Luciano_Varanis - Completo.pdfDissertação _Luciano_Varanis - Completo.pdfapplication/pdf1367224https://repositorio.fgv.br/bitstreams/ca19069a-97bb-44a8-8975-c74776180dd6/download848c44e67420ced7c19a6d2d1ab98f61MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/1295f2f1-5ebf-4608-8c49-c7ff935f52dd/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTDissertação _Luciano_Varanis - Completo.pdf.txtDissertação _Luciano_Varanis - 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|
dc.title.por.fl_str_mv |
Programação estocástica para fundos de pensão |
title |
Programação estocástica para fundos de pensão |
spellingShingle |
Programação estocástica para fundos de pensão Varanis, Luciano Pereira ALM Fundo de Pensão Programação Estocástica Linear Mista-Inteira Pension Fund Mixed Integer Linear program Matemática Programação estocástica Fundos de pensão |
title_short |
Programação estocástica para fundos de pensão |
title_full |
Programação estocástica para fundos de pensão |
title_fullStr |
Programação estocástica para fundos de pensão |
title_full_unstemmed |
Programação estocástica para fundos de pensão |
title_sort |
Programação estocástica para fundos de pensão |
author |
Varanis, Luciano Pereira |
author_facet |
Varanis, Luciano Pereira |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EMAp |
dc.contributor.member.none.fl_str_mv |
De la Cruz, Hugo Evsukoff, Alexandre Gonçalves |
dc.contributor.author.fl_str_mv |
Varanis, Luciano Pereira |
dc.contributor.advisor1.fl_str_mv |
Guigues, Vincent Gérard Yannick |
contributor_str_mv |
Guigues, Vincent Gérard Yannick |
dc.subject.por.fl_str_mv |
ALM Fundo de Pensão Programação Estocástica Linear Mista-Inteira |
topic |
ALM Fundo de Pensão Programação Estocástica Linear Mista-Inteira Pension Fund Mixed Integer Linear program Matemática Programação estocástica Fundos de pensão |
dc.subject.eng.fl_str_mv |
Pension Fund Mixed Integer Linear program |
dc.subject.area.por.fl_str_mv |
Matemática |
dc.subject.bibliodata.por.fl_str_mv |
Programação estocástica Fundos de pensão |
description |
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. |
publishDate |
2014 |
dc.date.issued.fl_str_mv |
2014-12-18 |
dc.date.accessioned.fl_str_mv |
2015-07-24T17:56:24Z |
dc.date.available.fl_str_mv |
2015-07-24T17:56:24Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
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masterThesis |
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publishedVersion |
dc.identifier.citation.fl_str_mv |
VARANIS, Luciano Pereira. Programação estocástica para fundos de pensão. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/13859 |
identifier_str_mv |
VARANIS, Luciano Pereira. Programação estocástica para fundos de pensão. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014. |
url |
http://hdl.handle.net/10438/13859 |
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info:eu-repo/semantics/openAccess |
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openAccess |
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