Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA17-19981S" target="_blank" >GA17-19981S: Finanční aplikace stochastického uspořádání</a><br>

Návaznosti

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

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Omega

ISSN

0305-0483

e-ISSN

—

Svazek periodika

87

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

15

Strana od-do

127-141

Kód UT WoS článku

000474319000011

EID výsledku v databázi Scopus

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