کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478903 1446176 2008 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Mean–variance portfolio and contribution selection in stochastic pension funding
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Mean–variance portfolio and contribution selection in stochastic pension funding
چکیده انگلیسی

In this paper we study the problem of simultaneous minimization of risks, and maximization of the terminal value of expected funds assets in a stochastic defined benefit aggregated pension plan. The risks considered are the solvency risk, measured as the variance of the terminal fund’s level, and the contribution risk, in the form of a running cost associated to deviations from the evolution of the stochastic normal cost. The problem is formulated as a bi-objective stochastic problem of mean–variance and it is solved with dynamic programming techniques. We find the efficient frontier and we show that the optimal portfolio depends linearly on the supplementary cost of the fund, plus an additional term due to the random evolution of benefits.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 187, Issue 1, 16 May 2008, Pages 120–137
نویسندگان
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