Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10242955" target="_blank" >RIV/61989100:27510/19:10242955 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0305048318300471?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0305048318300471?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.omega.2018.08.011" target="_blank" >10.1016/j.omega.2018.08.011</a>
Alternative languages
Result language
angličtina
Original language name
Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
Original language description
The main goal of a pension fund manager is sustainability. We propose an Asset and Liability Management model structured as a multi-stage stochastic programming problem adopting a discrete scenario tree and a multi-objective function. Among other constraints, we consider the second-order stochastic dominance with respect to a benchmark portfolio. To protect the pension fund from shocks, we test the inclusion of hedge financial contracts in the form of put options and, moreover, we stress the portfolio introducing a new scenario tree contamination technique, namely the nodal contamination. Numerical results show that we can efficiently manage the pension fund satisfying several targets such as liquidity, returns, sponsor's extraordinary contribution and funding gap. Moreover, we test the sensitivity with respect to put option strikes and to the stochastic dominance constraints. Finally, we demonstrate the effect of the scenario tree contamination. (C) 2018 Elsevier Ltd. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Omega
ISSN
0305-0483
e-ISSN
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Volume of the periodical
87
Issue of the periodical within the volume
1
Country of publishing house
GB - UNITED KINGDOM
Number of pages
15
Pages from-to
127-141
UT code for WoS article
000474319000011
EID of the result in the Scopus database
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