A Dynamic Model of Pension Fund Companies
Istanbul Stock Exchange Review, 2013, vol. 13, issue 51, 1-20
Two dynamic profit maximizing models of a pension fund company are developed and solved using calculus of variations techniques. Starting with a low portfolio management fee and increasing it gradually to a level of interest rate of Government paper is shown to be the optimal strategy which is contrary to the observed behavior of such companies. Thus, this result should lead the managers of such funds to review their pricing strategies.
Keywords: Pension Fund Companies; Dynamic Models; Portfolio Management Fee; Calculus of Variations (search for similar items in EconPapers)
JEL-codes: G20 G23 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:13:y:2013:i:51:p:1-1-20
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