Optimal pension fund composition for an Italian private pension plan sponsor

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Optimal pension fund composition for an Italian private pension plan sponsor

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Optimal pension fund composition for an Italian private pension plan sponsor

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

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

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Computational Management Science

ISSN

1619-697X

e-ISSN

—

Svazek periodika

14

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

26

Strana od-do

135-160

Kód UT WoS článku

000411375200008

EID výsledku v databázi Scopus

2-s2.0-84983761066