Erscheinungsdatum: 12.07.2015, Medium: Taschenbuch, Einband: Kartoniert / Broschiert, Titel: Hybrid Pension Schemes, Titelzusatz: Risk Allocation and Asset Liability Optimization, Autor: Baumann, Roger, Verlag: Südwestdeutscher Verlag für Hochschulschriften AG Co. KG, Sprache: Deutsch, Rubrik: Betriebswirtschaft, Seiten: 176, Informationen: Paperback, Gewicht: 278 gr, Verkäufer: averdo
Portfolio Optimization of Pension Fund Contributions ab 54.99 € als Taschenbuch: . Aus dem Bereich: Bücher, Wissenschaft, Mathematik,
Portfolio Optimization of Pension Fund Contributions ab 54.99 EURO
Pension schemes in Nigeria have run under several operational regimes. Some schemes are with legacies of failures suffering pensioners to the point that some times, retirees die without getting their pension pay outs. This work studies these schemes as reviews and focuses on the new contributory pension scheme of June 2004. Calibrated linear model is applied to check the optimality of current regulation-guided portfolio class compared to 2 other portfolio classes. This simulations uses asset under management as scarce resources constrained on limitations of investment ratios of 3 different asset classes. All results and values from PFAs (Pension Fund Administrator) are based on Nigeria's investment environment within the period under study. This work provides a mathematical model usable to evaluate returns of PFAs. It also advices for approval of other portfolio classes to allow best result from asset class spread for a better performance of contributors' fund in Niegria.
In the fifty-five old years since the development of dynamic programming (DP) by the brainchild of an American Mathematician, Richard Bellman, DP has offers a unified treatment to problems involving sequential or multi-stage decision making in systems with linear, non-linear and stochastic dynamics. DP describes the way of solving problems where there is the need to find the best decisions one after the other. This work provides theoretical, algorithms and applications of DP for resource allocation problems with finite and infinite horizon. Four separate and distinct problems in our societies were considered in this work. They include modeling and application of DP principles to the allocation of buses from both single and multiple stations to different routes by transportation companies, modeling and application of DP principles to distribution of goods from production centres to different stores or markets, and investment of pension plan members' contributions into toll gate management. The models and the applications should be useful to professionals and researchers in the area of operations research, optimization, financial and investment institutions, and practitioneers alike.
This work is of two parts: First part, dynamic programming (DP) algorithms for debt management and distribution of goods. DP is one of the algorithms designed to obtain solution one after another. In this work, DP is tailored towards debt management and distribution of goods. Second part, mean-variance investment portfolio management. A mean-variance optimization is a quantitative method used to construct portfolios for the investors and to determine return for a given level of risks. This work provides theoretical, algorithms and applications of DP for debt management and distribution of goods as well as mean-variance portfolio management for investors. Five separate and distinct problems in our societies were considered in this work. They include modeling and application of DP techniques to debt management, distribution of goods with stochastic break down, mean-variance investment portfolio with deterministic, stochastic, and consumption processes for pension plan members. The models should be useful to professionals and researchers in the area of operations research, optimization, financial and investment portfolio managers and institutions.
The interaction between mathematicians and statisticians has been shown to be an eective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches.The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models, alternative testing approaches, behavioral finance, clustering techniques, coherent and non-coherent risk measures, credit scoring approaches, data envelopment analysis, dynamic stochastic programming, financial contagion models, financial ratios, intelligent financial trading systems, mixture normality approaches, Monte Carlo-based methods, multicriteria methods, nonlinear parameter estimation techniques, nonlinear threshold models, particle swarm optimization, performance measures, portfolio optimization, pricing methods for structured and non-structured derivatives, risk management, skewed distribution analysis, solvency analysis, stochastic actuarial valuation methods, variable selection models, time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks, collateralized fund obligations, credit portfolios, defined benefit pension plans, double-indexed pension annuities, efficient-market hypothesis, exchange markets, financial time series, firms, hedge funds, non-life insurance companies, returns distributions, socially responsible mutual funds, unit-linked contracts.This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.