Portfolio management for pension funds

被引：0
|
作者：
Arbeleche, S [1 ]
Dempster, MAH [1 ]
Medova, EA [1 ]
Thompson, GWP [1 ]
Villaverde, M [1 ]
机构：
[1] Univ Cambridge, Judge Inst Management, Ctr Financial Res, Cambridge CB2 1AG, England
来源：
INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING | 2003年 / 2690卷
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper introduces the use of dynamic stochastic optimisation for pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic methods of solving optimization problems and modelling of required risk tolerances. In nearly all the historical backtests using data over roughly the past decade the system described (with transactions costs taken into account) outperformed the benchmark SP500.
引用
收藏
页码：462 / 466
页数：5
相关论文
共 50 条
12345