An optimizing framework for the glide paths of life cycle asset allocation funds
نویسندگان
چکیده
منابع مشابه
a benchmarking approach to optimal asset allocation for insurers and pension funds
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اول“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”
abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولAsset Allocation in Finnish Pension Funds
This paper empirically examines the strategic asset allocation and the asset/liability issues in the Finnish defined benefit pension funds. The results indicate that there is a relationship between the liability structure and the asset allocation. While pension funds with younger participants have more equity exposure, more mature pension funds have more fixed income investments. Wide dispersio...
متن کاملOptimal Life-Cycle Asset Allocation with Housing as Collateral
We investigate a household’s asset allocation, housing, and mortgage decisions in a calibrated life-cycle model with costly stock market entry and participation and a risky housing market featuring housing adjustment costs, mortgage collateral borrowing requirement, refinancing charge, and default penalty. Our analysis demonstrates that a household’s liquid wealth is the most important determin...
متن کاملValue-based asset allocation: An integrated framework
We develop an asset allocation approach that translates valuation signals into a suggested allocation. At its core, we simulate a mean-reverting value-price evolution to infer important distribution parameters as needed in our allocation rule. The latter relies on a broad range of parameters, thereby diversifying the model risk and making the framework stable. The simulation is calibrated to me...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2010
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504850903425124