Dynamic asset allocation under uncertainty for pension fund management

• Autorzy: Pflug G. , Świętanowski A.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

asset liability management; financial modeling; investment; pension fund management; portfolio; risk management; stochastic dynamic optimization

PL

model finansowy; optymalizacja stochastyczna; podejmowanie decyzji; procesy Markowa

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1999
• Tom: Vol. 28, no 4
• Strony: 755--777
• Opis fizyczny: Bibliogr. 19 poz.,

Twórcy

autor

Pflug G.

autor

Świętanowski A.