Optimal Portfolio Choice for Pension Funds
Featured

Optimal Portfolio Choice for Pension Funds

87 Views

Thanks! Share it with your friends!

URL

You disliked this video. Thanks for the feedback!

Sorry, only registred users can create playlists.
URL

Description:

We develop a framework for analyzing a finite-horizon investor's asset allocation problem in the case where not all risks can be hedged by financial instruments and markets are therefore incomplete. We assume that the agents assess their utility relative to a (stochastic) benchmark. The investment strategies we study are closedform approximations to the optimal solution. Using duality methods we compute explicit upper bounds for the optimality gap of our approximating solutions. In the examples we present, our approximations are very close to the optimal solution.

Post your comment

Sign in or sign up to post comments.
Be the first to comment