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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&apos;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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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