an optimal fixed-income portfolio to immunize $9.3B in inflation-indexed pension liabilities over an 80-quarter horizon. Implemented Linear Programming in R to minimize cost while managing credit scores, inflation-linkage caps, and liquidity constraints
linear-programming quantitative-finance r-programming risk-management stochastic-optimization actuarial-science pension-funds asset-liability-management liability-trading fixed-income-modeling
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Updated
Jan 17, 2026 - R