It is possible to model a wide range of portfolio management problems using stochastic programming. This approach requires the generation of input scenarios and probabilities, which represent the evolution of the return on investment, the stream of liabilities and other random phenomena of the problem and respect the no-arbitrage properties. The quality of the recommended capital allocation dep...

We develop an optimal asset allocation model for the accumulation phase of a definedcontribution pension plan in the presence of non-hedgeable salary risk. The model considers a policyholder who each period, t, contributes a constant proportion, π, of his salary, S(t), to a personal pension fund, W(t). At the time of retirement, T , the fund is converted into an annuity paying W (T)/a(T) each p...

Objective – The aim of the article is to present the development of a simulation framework which identifies Malaysia Pension Fund main sources as well as the financial activities. Methodology/Technique Numerous factors influencing the financial condition pension fund is summarized. Based on the set of system factors in literature summarization, causal loop diagram is used to analyse the inter-r...

We study the problem of diversifying a given initial capital over a finite number of investment funds that follow different trading strategies. The investment funds operate in a market where a finite number of underlying assets may be traded over finite discrete time. We present a numerical procedure for finding a diversification that is optimal in the sense of a given convex risk measure. The ...

We develop an optimal asset allocatlon model for the accumulation phase of a definedcontribution pension plan in the presence of non-hedgeable salary risk. The model considers a policyholder who each penod, r. contributes a constant proportlon. rc. of his salary, S(I), to a personal pension fund, W(r). At the time of retirement, T. the fund IS converted into an annuity paying W( T)/cr( T) each ...

This paper describes a general approach for the stochastic modeling of assets returns and liability cash-flows typical pensions insurer. On asset side, we model investment on equities various classes fixed-income instruments including short- long-maturity fixed-rate bonds as well index-linked corporate bonds. risks are driven by future mortality developments price wage inflation. All risk facto...

This paper investigates the determinants of public pension plan risk-taking behavior using the percentage of total plan assets invested in the equity markets and the pension asset beta as measures of investment risk. We find that government accounting standards strongly affect public fund investment risk, as higher return assumptions (used to discount pension liabilities) are associated with hi...

Using a data set on more than 300 UK pension funds' asset holdings, this paper provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We ̄nd evidence of slow mean reversion in the funds' portfolio weights towards a common, time-varying strategic asset allocation. We also ̄nd surprisingly little cross-sectional variation in the average ex post...

With the constant improvement of the population average life expectancy, the pension personal account will face a growing risk, improvement of the pension fund system is crucial, this article from system design, the preferential tax, legal protection, operation mechanism, and fund supervision five aspects to the current situation of the endowment insurance fund system of China is analyzed, then...