optimal asset allocation
Optimal Asset Allocation Strategy for Defined Contribution Pension Plans with Different Power Utility Functions
... Although Cairns et al. [10] indicated that the “equity”, “cash” and “bond” funds are heavily dominated by equi- ties, cash and bonds respectively; they did not provide a measure on how to gauge the dominance. Is it ...
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Optimal Asset Allocation of a Pension Fund: Does The Fear of Regret Matter?
... the optimal allocation to risky assets decreases through time in the accumulation phase so that the pension fund would be able to make a sure and substantial pension payment in the decumulation phase, while ...
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Optimal asset allocation and annuitisation in a defined contribution pension scheme
... the asset allocation ...risky asset is investigated and certain directions for tackling the problem are ...stochastic optimal control problem, providing the proof of the verification theorem ...
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Optimal Asset Allocation in the Turkish Electricity Market: Down-side vs Semi-variance Risk Approach
... energy allocation within the spot market and between spot market and bilateral contracts in a market environment where there is no transmission congestion in the transmission grid ...the optimal ...
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Optimal Asset Allocation for a Mean Variance CVaR Insurer under Regulatory Constraints
... of asset allocation strategies for insurance ...of optimal asset allocation problem in insurance risk ...risk-free asset and multiple risky assets and un- derwriting business is ...
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Parallel Quasi Exhaustive Search of Optimal Asset Allocation for Pension Funds
... common asset pool run by a financial intermediary on behalf of a company and its employees, with the goal of generating stable growth over the long term and providing pensions for the employees when they retire ...
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Nearly optimal asset allocations in retirement
... of asset return expections in Table ...the optimal asset allocation represents the point from the efficient frontier which provides the highest fitted withdrawal rate from the regression ...
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Robust portfolio selection problem under temperature uncertainty
... We also investigate economical performance of trading strategies based on monthly weather derivatives in terms of annualized return and risk-adjusted performance measures such as annualized volatility, Sharpe ratio, ...
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Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants
... the optimal asset allocations and the impacts of investment constraints, we consider a risk aversion coefficient of five as ...The optimal asset allocation strategy for each level of ...
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Essays on the Life-cycle Portfolio Allocation in the Presence of Housing Investment.
... risky asset market during first ten ...risky asset market, from mid 40s to late 60s we see a decline in the amount of this investment, and after late 60s it closes to ...
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Optimal capital allocation principles
... capital allocation a non-trivial ...capital allocation in the insurance industry and relates capital allocation to management decision making tools such as RAROC (risk-adjusted return on capital) and ...
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NEW MODEL TRANSFORMATION USING REQUIREMENT TRACEBILITY FROM REQUIREMENT TO UML BEHAVIORAL DESIGN
... For example, farmers in agricultural production, individual farmers is a simple water main, it has a limited capacity. When encountered greater environmental changes, its viability, adaptability, and the rules of conduct ...
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Cojumps and Asset Allocation in International Equity Markets
... the optimal portfolio composition. For this purpose, we compare the optimal portfolio weights for an investor who recognizes idiosyncratic and systematic jumps and another investor who ignores them and ...
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Optimal Resource Allocation for Next Generation Network Services.
... bandwidth allocation for elastic services (an elastic service is defined as a service that can modify its data rate according to the available bandwidth within the network) is proposed and a distributed algorithm ...
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Optimal income taxation with asset accumulation
... with optimal capital ...the optimal allocation for the scenario with 40 percent capital income taxation given the e¤ort level from the optimal capital tax ...the optimal likelihood ...
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Optimal Stopping Time for Holding an Asset
... the optimal time to sell an asset that its price conforms to the Black-Schole model but its drift is a discrete random variable taking one of two given values and this probability dis- tribution behavior ...
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Long term investors and valuation based asset allocation
... Table 2 demonstrates one simple way to hedge against the possible: do not reduce the stock allocation all the way to zero during times of overvaluation. The figure shows alternative stock allocations for ...
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Optimality of financial planning clients' strategic asset allocation
... investors’ asset allocation on the basis of financial planners’ recommendations (Huber & Kaiser ...five asset classes namely equities, bonds, hedge funds, property and cash for investment time ...
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Asset Allocation, Time Diversification and Portfolio Optimization for Retirement
... an optimal proportion of common stocks, commodities and govern- ment bonds to achieve the target rate of return for re- tirement by minimizing investment portfolio risk meas- ured from standard deviation ...an ...
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Coherent Asset Allocation and Diversification in the Presence of Stress Events
... four asset classes: Credit and ...highest allocation is for the Credit subportfolio ...the allocation to Credit quickly ...the allocation to the Credit rapidly goes to zero as soon as the ...
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