2022
DOI: 10.37190/ord220207
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Asset liability management for the Bank of Uganda defined benefits scheme by stochastic programming

Abstract: We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Bank of Uganda Defined Benefits Scheme, which is closed to new members, we obtain the optimal investment policies. Randomly sampled scenario trees using the mean and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period… Show more

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