Net Contribution, liquidity, and optimal pension management
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20160037173 | ||
| 003 | MAP | ||
| 005 | 20161223140545.0 | ||
| 008 | 161213e20161205usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a345 | ||
| 245 | 0 | 0 | $aNet Contribution, liquidity, and optimal pension management$cChanghui Choi... [et al.] |
| 520 | $aThis 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. | ||
| 650 | 4 | $0MAPA20080591021$aFondos de pensiones | |
| 650 | 4 | $0MAPA20080592455$aPlanes de pensiones | |
| 650 | 4 | $0MAPA20080552114$aPensiones | |
| 650 | 4 | $0MAPA20080577391$aPrevisión social | |
| 650 | 4 | $0MAPA20080610029$aCotizaciones bursátiles | |
| 650 | 4 | $0MAPA20150020307$aAsignación de capital | |
| 650 | 4 | $0MAPA20080570736$aSostenibilidad | |
| 650 | 4 | $0MAPA20080611552$aMétodos de optimización | |
| 700 | 1 | $0MAPA20160015829$aChoi, Changhui | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g05/12/2016 Volumen 83 Número 4 - diciembre 2016 , p. 913-948 |