Modeling Optimal Pension Fund Asset Allocation in a Dynamic Capital Market

被引：2
|
作者：
Liu, Jiapeng [1 ]
Qiu, Hong [2 ]
Zhao, Xiaoli [1 ]
Zhu, Yingjun [3 ,4 ]
机构：
[1] China Jiliang Univ, Sch Econ & Management, Hangzhou, Zhejiang, Peoples R China
[2] Xihua Univ, Sch Management, Chengdu, Sichuan, Peoples R China
[3] Shanghai Maritime Univ, Coll Transport & Commun, Shanghai, Peoples R China
[4] Shanghai Lixin Univ Accounting & Finance, Sch Accounting, Shanghai, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2021年 / 57卷 / 08期
关键词：
dynamic capital market; Pension fund asset allocation; strategy;
D O I：
10.1080/1540496X.2019.1603521
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we model optimal pension fund asset allocation strategy in a dynamic capital market by expanding the static capital market line in classical finance theory to a dynamic, time-varying capital market surface. We construct pension fund asset allocation model under certain market trend and solve for the best asset allocation path for pension funds. Using the optimal control theory (minimum principle) to verify the model, we obtain consistent conclusions. This model can not only adapt to the long-term market trend, but also capture market adjustment, and is consistent with the actual condition of pension fund investment.
引用
收藏
页码：2323 / 2330
页数：8
相关论文
共 50 条
  • [31] Liquidity regimes and optimal dynamic asset allocation
    Collin-Dufresne, Pierre
    Daniel, Kent
    Saglam, Mehmet
    JOURNAL OF FINANCIAL ECONOMICS, 2020, 136 (02) : 379 - 406
  • [32] International asset allocation using the market implied cost of capital
    Bielstein P.
    Financial Markets and Portfolio Management, 2018, 32 (1) : 17 - 51
  • [33] The effect of pension accounting on corporate pension asset allocation
    Eli Amir
    Yanling Guan
    Dennis Oswald
    Review of Accounting Studies, 2010, 15 : 345 - 366
  • [34] The effect of pension accounting on corporate pension asset allocation
    Amir, Eli
    Guan, Yanling
    Oswald, Dennis
    REVIEW OF ACCOUNTING STUDIES, 2010, 15 (02) : 345 - 366
  • [35] Savings Behavior, Asset Investment Choices and Institutional Pension Capital Market Performance
    Foo, Jennifer
    Witkowska, Dorota
    INTERNATIONAL JOURNAL OF BUSINESS, 2021, 26 (03): : 72 - 104
  • [36] Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams
    Martellini, Lionel
    Milhau, Vincent
    JOURNAL OF PENSION ECONOMICS & FINANCE, 2022, 21 (03): : 425 - 445
  • [37] REGRESSION MODEL FOR THE PENSION FUND'S ADDITIONAL PENSION CAPITAL
    Matvejevs, Andrejs
    Pavlenko, Oksana
    APLIMAT 2005 - 4TH INTERNATIONAL CONFERENCE, PT I, 2005, : 453 - 460
  • [38] Optimal dynamic asset allocation in a non Gaussian world
    Pola, Gianni
    MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, 2010, : 273 - 282
  • [39] Optimal asset allocation using adaptive dynamic programming
    Neuneier, R
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 8: PROCEEDINGS OF THE 1995 CONFERENCE, 1996, 8 : 952 - 958
  • [40] Optimal dynamic asset allocation: A stochastic invariance approach
    Pola, Gianni
    Pola, Giordano
    PROCEEDINGS OF THE 45TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14, 2006, : 2593 - +
12345