頁籤選單縮合
題 名 | Pension Fund Management Using the Markov Chain Approximation |
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作 者 | Chang, Shih-chieh; Tu, Chang-ye; Tsai, Chenghsien; | 書刊名 | Asia Pacific Management Review |
卷 期 | 10:4 民94.08 |
頁 次 | 頁259-266 |
分類號 | 448.942 |
關鍵詞 | Stochastic control; Markov chain approximation; Pension fund management; |
語 文 | 英文(English) |
英文摘要 | Funding policy and portfolio selection are two crucial issues in pension fund management. Merton (1969, 1971) initially explores these problems in a continuous time framework by constructing the Hamilton-Jacobi-Bellman (HJB) equations. This type of approach becomes complicated when control constraints are incorporate under an incomplete market. In this paper, we suggest using the Markov chain approximation methods proposed by Kushner and Dupuis (1992) to obtain the optimal solutions numerically. Monitoring mechanism linking plausible scenarios and numerical solutions are employed to scrutinize the contributions and asset allocations for defined benefit pension schemes. In the numerical illustration, we estimate the optimal strategies within a simplified two-asset opportunity set. The results show that the plan turnovers, the initial fund levels, and the time horizon heavily influence the optimal strategies. |
本系統中英文摘要資訊取自各篇刊載內容。