one of the main functionalities of capital market is to improve liquidityin the market which provides security for the investors. mutual funds aremodern financial institutions which are designed with the aim of collectingfunds from investors and devote them to buy a variety of securities inorder to mitigate investment risks, exploit the economies of scale andfinally create a reasonable return f...

This paper introduces the use of dynamic stochastic optimisation pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic methods of solving optimization problems and modelling of required risk tolerances. In nearly all the historical backtests using data over roughly the past decade the system described (with transactions costs ...

As of March 2021, the National Pension Service (NPS) is world’s 3rd largest pension fund with 872.5tn won (KRW) in management. Recently, NPS proposed a policy to gradually reduce proportion domestic stocks portfolio future. This change asset allocation strategy related NPS’s exit for stocks. study aims examine market impact cost asymmetry between buys and sells suggest trading mitigating cost. ...

Alternative assets represent an increasing share of pension fund assets, and real estate is a cornerstone that allocation. This article investigates the trends in investments over past 3 decades, both private public estate, focusing on performance asset class for ultimate owners. The development allocations to differs across regions, with Canada, stationary US, shrinking Europe. Slightly more t...

We generalize the standard competitive rational expectations equilibrium (Hellwig (1980), Verrecchia (1982)) by studying the possibility that informed agents open mutual funds in order to sell their private information. We illustrate how mutual funds endogenously arise in equilibrium and we characterize the fund managers’ optimal investment management fees under imperfect competition. In our mo...