Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

pension plan sign in to follow this
liability sign in to follow this
interest rate sign in to follow this
multiperiod sign in to follow this
Categories:

VaR Uses sign in to follow this
--Portfolio Optimization sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Optimal Management of DC Pension Plan under Loss Aversion and Value-at-Risk Constraints
Year Of Publication: 2014
Month Of Publication: June
Pages: 33
Download Count: 2
View Count: 1185
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-29-2014
Publisher: Administrator
Summary
This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow an Orstein-Uhlenbeck process while the contribution rate follows a geometric Brownian Motion. Thus, the pension manager has to hedge the risks of interest rate, stock and contribution rate. Different from most works in DC pension plan, the pension manger has to obtain the optimal allocations under loss aversion and Value-at-Risk(VaR) constraints. The loss aversion pension manager is sensitive to losses while the VaR pension manager has to ensure the quality of wealth at retirement. Since these problems are not standard concave optimization problems, martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Moreover, sensitivity analysis is presented in the end to show the economic behaviors under these two criterions.
Author(s)
Guan, Guohui Sign in to follow this author
Liang, Zongxia Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile