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Net Contribution, liquidity, and optimal pension management

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20160037173
003  MAP
005  20161223140545.0
008  161213e20161205usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎345
24500‎$a‎Net Contribution, liquidity, and optimal pension management‎$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
7001 ‎$0‎MAPA20160015829‎$a‎Choi, Changhui
7730 ‎$w‎MAP20077000727‎$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