Optimal pension fund composition for an Italian private pension plan sponsor

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10367490" target="_blank" >RIV/00216208:11320/17:10367490 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1007/s10287-016-0263-4" target="_blank" >http://dx.doi.org/10.1007/s10287-016-0263-4</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10287-016-0263-4" target="_blank" >10.1007/s10287-016-0263-4</a>

Result language

angličtina

Original language name

Optimal pension fund composition for an Italian private pension plan sponsor

Original language description

We address the problem of a private pension plan sponsor who has to find the best pension funds for its members. Starting from a descriptive analysis of the pension plan members we identify a set of representative subscribers. Then, the optimal allocation for each representative will become a pension fund of the pension plan. For each representative, we propose a multistage stochastic program (MSP) which includes a multi-criteria objective function. The optimal choice is the portfolio allocation that minimizes the average value at risk deviation of the final wealth and satisfies a wealth target in the final stage and other constraints regarding pension plan regulations. Stochasticity arises from the investor&apos;s salary process and from asset returns. Numerical results show the optimal dynamic portfolios with respect to the investor&apos;s preferences and then the best pension funds the sponsor might offer.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Computational Management Science

ISSN

1619-697X

e-ISSN

—

Volume of the periodical

14

Issue of the periodical within the volume

1

Country of publishing house

DE - GERMANY

Number of pages

26

Pages from-to

135-160

UT code for WoS article

000411375200008

EID of the result in the Scopus database

2-s2.0-84983761066