Earticle

초록

영어

This paper presents an optimal portfolio balancing strategy in discrete time for a crra investor, such as a pension fund, who invests only on one risk-free asset and one risky asset where both xed and (linear) proportional transaction costs exist. Based on our theoretical results, we provide a heuristic that can generate an approximate solution to this problem while considering periodic (negative or positive) changes in net contribution, which occurs often for pension funds. According to our computational results, our optimal asset allocation strategies match actual asset allocation schemes of some internationally renowned pension funds. Furthermore, we also learned that net contribution and liquidity have signicant impacts on an optimal asset allocation of a pension fund.

목차

Abstract
 1 Introduction
 2 Motivation: psps of interest
 3 The model
 4 Optimal pension fund management
  4.1 Analysis of ptc
  4.2 Analysis of fptc
 5 Numerical implications
  5.1 A heuristic for multi-period fptc
  5.2 Sensitivity analysis
  5.3 Application to pension funds
 6 Conclusion
 References
 7 Appendix

저자

• Changhui Choi
• Bong-Gyu Jang
• Changki Kim
• Sang-youn Roh

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330