期刊
ANNALS OF OPERATIONS RESEARCH
卷 166, 期 1, 页码 261-270出版社
SPRINGER
DOI: 10.1007/s10479-008-0405-3
关键词
Pension plan; Large-scale linear programming; Multi-period risk measure; Average value-at-risk
In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, members of the pension plan are given a possibility to switch periodically between J types of funds with different risk profiles and so actively manage their risk exposure and expected return. Minimization of a multi-period average value-at-risk deviation measure under expected return constraint leads to a large-scale linear program. A theoretical framework and a solution for the case of the pension system of Slovak Republic are presented.
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