Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"Dynamic asset allocation"”.
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Optimal Plan Design and Dynamic Asset Allocation of Defined Contribution Pension Plans: Lessons from Behavioural Finance and Non-expected Utility Theories
The question of optimal asset allocation strategy for defined contribution (DC) pension plans is addressed. A primary motivation for this study is provided by the recent literature on behavioural finance and intertemporal life-cycle investment theory. In this thesis two alternative utility forms …
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The risk-related behaviour of financial intermediaries
… on the economic value of correlation timing for dynamic asset allocation strategies. In order to further evaluate the influence of the rebalancing frequency on the economic value of the correlation timing, we assess the performance of the dynamic asset allocation strategy on both daily and …
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A model of pension portfolios with salary and surplus process
… D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In the …
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A quantitative model for the asset liability management of a Pension Fund
… the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial …