Pension fund ALM models with stochastic dominance

被引：0
作者：
Vitali, Sebastiano [1 ]
Moriggia, Vittorio [2 ]
机构：
[1] VSB TU Ostrava, Fac Econ, Dept Finance, Ostrava, Czech Republic
[2] Univ Bergamo, Fac Management Econ & Quantitat Methods, Bergamo, Italy
来源：
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2017年
关键词：
Asset and Liability Management; Stochastic Programming; Pension Fund; Hedging Derivatives; LIABILITY MANAGEMENT; ASSET; DIVERSIFICATION; OPTIMIZATION; FORMULATIONS; PERFORMANCE; UNCERTAINTY;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The main goal of a pension fund manager is sustainability. We propose an Asset and Liability Management (ALM) 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 market portfolio and we compare the results with the expected value constraint and the standard approach. Numerical results show that we can efficiently manage the pension fund satisfying liquidity, return, sponsor's extraordinary contribution and funding gap targets.
引用
收藏
页码：915 / 922
页数：8
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