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scenario-generation

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End-to-end Python framework for robust pension fund management under parameter uncertainty. Implements three Distributionally Robust (DRO) Asset-Liability Management (ALM) formulations (Mixture, Box, Wasserstein) with GBM scenario generation, convex optimization (LP/SOCP), and comprehensive backtesting. Based on 2026 research by Ghahtarani et al.

  • Updated Feb 21, 2026
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