Dissertation/ Thesis
Essays on optimal investments for pension funds ; Δοκίμια για τις βέλτιστες επενδύσεις για τα συνταξιοδοτικά ταμεία
| العنوان: | Essays on optimal investments for pension funds ; Δοκίμια για τις βέλτιστες επενδύσεις για τα συνταξιοδοτικά ταμεία |
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| المؤلفون: | Blontzou, Evmorfia, Μπλόντζου, Ευμορφία |
| بيانات النشر: | University of Piraeus (UNIPI) Πανεπιστήμιο Πειραιώς |
| سنة النشر: | 2024 |
| المجموعة: | National Archive of PhD Theses (National Documentation Centre Greece) |
| مصطلحات موضوعية: | Βέλτιστη στρατηγική, Συνταξιοδοτικά πλάνα, Μη πλήρεις αγορές, Συνάρτηση χρησιμότητας, Optimal investment, Pension plans, Incomplete markets, Utility function, Οικονομικά και Επιχειρήσεις, Κοινωνικές Επιστήμες, Χρηματοοικονομικά, Στατιστικές, Πιθανότητες και Αβεβαιότητα, Economics and Business, Social Sciences, Finance, Statistics, Probability and Uncertainty |
| الوصف: | The whole research falls under the general subject of modeling the optimal investment strategies of pension funds and the assessment of pension plans’ value. This Ph.D thesis is a collection of three different papers with significant contributions. The Chapter with the title: “Valuation of Pension Plans in Discrete Incomplete Markets”, focuses on the valuation of the pension plan that is designed for an individual pension member and examines how the pension fund manager’s motives may increase the undertaking risk. In our model, we with-draw the highly unrealistic assumption of market completeness and address the tasks assuming that the promised payoff to the pension member at his/her retirement day is unhedgeable. For this, we propose an alternative path than the ones taken by the related literature; namely, we consider an incomplete market- model in a finite space and discrete time. The simplest version of this model is a trinomial tree, which can be seen as a natural incomplete version of the binomial model. The first goal is to find the minimum cost of the portfolio that achieves the pension plan’s payoff a.s. (i.e., the super-hedging value), taking into account the special features of the admissible strategies and the nature of the capital inflows from the member’s contributions. The second goal is to examine the incentives of the pension fund manager, who gets extra compensation in case of surplus (i.e., when the wealth at the terminal time is higher than the promised liability). The Chapter with the title: “Backward and Forward Optimization for Pension Funds”, analyzes two different optimization approaches, the widely-used and well-known “Backward Utility Optimization”, where we make focus on specific cases according to portfolio’s form, and the “Forward Utility Optimization”, an issue that while has been studied by several authors, a model that is dedicated to pension funds with specific characteristic has not been established. We first study the classical backward utility optimization problem for ... |
| نوع الوثيقة: | doctoral or postdoctoral thesis |
| اللغة: | English |
| Relation: | http://hdl.handle.net/10442/hedi/56895 |
| DOI: | 10.12681/eadd/56895 |
| الاتاحة: | http://hdl.handle.net/10442/hedi/56895 https://doi.org/10.12681/eadd/56895 |
| رقم الانضمام: | edsbas.3AE67494 |
| قاعدة البيانات: | BASE |
| DOI: | 10.12681/eadd/56895 |
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