Net Contribution, liquidity, and optimal pension management

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Choi, Changhui</dc:creator>
<dc:date>2016-12-05</dc:date>
<dc:description xml:lang="es">Sumario: This article presents an optimal portfolio balancing strategy for a pension fund manager in the presence of fixed and proportional transaction costs with respect to stock trades and changes in net contribution. An analytic solution to the one-period problem is presented and a heuristic method for a multiperiod problem is developed. For reasonably calibrated parameters, we find that our numerical results explain the actual asset allocation schemes of some internationally renowned pension funds. Moreover, we show that net contribution and liquidity have significant impacts on the optimal asset allocation of a pension fund.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/158557.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Fondos de pensiones</dc:subject>
<dc:subject xml:lang="es">Planes de pensiones</dc:subject>
<dc:subject xml:lang="es">Pensiones</dc:subject>
<dc:subject xml:lang="es">Previsión social</dc:subject>
<dc:subject xml:lang="es">Cotizaciones bursátiles</dc:subject>
<dc:subject xml:lang="es">Asignación de capital</dc:subject>
<dc:subject xml:lang="es">Sostenibilidad</dc:subject>
<dc:subject xml:lang="es">Métodos de optimización</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Net Contribution, liquidity, and optimal pension management</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 05/12/2016 Volumen 83 Número 4 - diciembre 2016 , p. 913-948</dc:relation>
</rdf:Description>
</rdf:RDF>