- Tytuł:
- Dynamic asset allocation under uncertainty for pension fund management
- Autorzy:
-
Pflug, G.
Świętanowski, A. - Powiązania:
- https://bibliotekanauki.pl/articles/205561.pdf
- Data publikacji:
- 1999
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
model finansowy
optymalizacja stochastyczna
podejmowanie decyzji
procesy Markowa
asset liability management
financial modeling
investment
pension fund management
portfolio
risk management
stochastic dynamic optimization - Opis:
- Decision making in managing the asset and liability structure of a pension fund can be supported by stochastic dynamic optimization. We discuss our model, which is based on data analysis and forecast for the asset-side as well as a simulation model for the liability side. The core of our decision support system consists of the following building blocks : a set of securities, a pricing module based on a multifactor Markov model to derive expected returns of securities, a simulation-based model for liabilities, a carefully chosen objective function suitable for the pension fund and a stochastic optimization problem solver. We consider the use of different objectives in the model and decomposition techniques to solve the stochastic portfolio optimization problem. Our final goal is to design an efficient parallel implementation.
- Źródło:
-
Control and Cybernetics; 1999, 28, 4; 755-777
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł