M. M. Hosseinzadeh, G. Consigli
Over the past several decades, investment risks increased for the financial institutions such as pension funds. To cope with this problem, we consider a multi-stage dynamic stochastic optimization approach for a pension fund (PF) ALM problem specified on the long-term horizon with several constraints. An extended set of asset classes for the PF includes government and inflation linked bonds, money market, equity and commodities. The PF liabilities are determined by all future pension payments and their current market value. The PF manager wishes to have sufficient liquidity and control interest and inflation rate risks in the short and medium-term and also achieve a good long-term return. Such return is defined with respect to a risk exposure captured by the concept of risk capital, recently introduced in modern PF systems and which is becoming more important.The elements of a real-world case problem are shown with economic and financial results presented over a long-term horizon.
Keywords: asset-liability management (ALM), multi-stage dynamic stochastic optimization, pension fund management
Scheduled
TC1 Asset Liability Management
May 31, 2016 11:45 AM
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