Optimal pension fund management under multi-period risk minimization |
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Authors: | Soňa Kilianová Georg Ch Pflug |
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Institution: | 1.Department of Applied Mathematics and Statistics, Faculty of Mathematics, Physics and Informatics,Comenius University,Bratislava,Slovak Republic;2.Department of Statistics and Decision Support Systems, Faculty of Business, Economics and Statistics,University of Vienna,Vienna,Austria |
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Abstract: | In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by
a pension plan member is presented. In our model, members of the pension plan are given a possibility to switch periodically
between J types of funds with different risk profiles and so actively manage their risk exposure and expected return. Minimization
of a multi-period average value-at-risk deviation measure under expected return constraint leads to a large-scale linear program.
A theoretical framework and a solution for the case of the pension system of Slovak Republic are presented. |
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Keywords: | Pension plan Large-scale linear programming Multi-period risk measure Average value-at-risk |
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