Asset-liability management for Czech pension funds using stochastic programming

Jitka Dupačová () and Jan Polívka

Annals of Operations Research, 2009, vol. 165, issue 1, 5-28

Abstract: It is possible to model a wide range of portfolio management problems using stochastic programming. This approach requires the generation of input scenarios and probabilities, which represent the evolution of the return on investment, the stream of liabilities and other random phenomena of the problem and respect the no-arbitrage properties. The quality of the recommended capital allocation depends on the quality of the input scenarios and a validation of results is necessary. Appropriate scenario generation techniques and output analysis methods are described in the context of defined contribution pension fund and applied to the specific model of a Czech pension fund. The numerical results indicate various components that influence the recommended investment decisions and the fund’s achievements. In particular, the initial balance sheet position of the pension fund is important for the optimal investment strategy because of the accounting rules embedded in the model and tracking of both the market and purchasing value of assets. Copyright Springer Science+Business Media, LLC 2009

Keywords: Defined contribution plan; ALM; Scenario-based stochastic programs; Output analysis; Case study (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-008-0358-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:165:y:2009:i:1:p:5-28:10.1007/s10479-008-0358-6

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-008-0358-6

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().