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Gotowe bibliografie tematyczne / Methods to determine asset allocation of retirement portfolio

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Artykuły w czasopismach

Gotowa bibliografia na temat „Methods to determine asset allocation of retirement portfolio”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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Artykuły w czasopismach na temat "Methods to determine asset allocation of retirement portfolio"

1

Klimavičienė, Aušra. "Using Dynamic Stochastic Simulation to Determine Asset Allocation of Sustainable Retirement Portfelio for a Stochastic Lifetime." Business: Theory and Practice 11, no. (4) (2010): 381–86. https://doi.org/10.3846/btp.2010.41.

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The article examines the problem of determining asset allocation of sustainable retirement portfolio. Former researches used to analyse the fixed retirement planning horizon. Seeking to reflect the stochastic nature of the human lifespan the dynamic stochastic simulation models used for calculations are updated to incorporate the probability of living another year based on Lithuanians ' mortality tables. The article presents the attempts to analyse the methods used to identify the optimal asset allocation of retirement portfolio using dynamic stochastic simulation techniques. The research resu

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Klimavičienė, Aušra. "Stochastic Optimization of Heuristic Method Rule to Determine Asset Allocation to Retirement Portfolio." Business: Theory and Practice 12, no. (1) (2011): 92–98. https://doi.org/10.3846/btp.2011.10.

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The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to "100" is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns an

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Klimavičienė, Aušra. "STOCHASTIC OPTIMIZATION OF HEURISTIC METHOD RULE TO DETERMINE ASSET ALLOCATION TO RETIREMENT PORTFOLIO / STOCHASTINIS EURISTINIO METODO TAISYKLĖS PENSIJOS PORTFELIO SUDĖČIAI NUSTATYTI OPTIMIZAVIMAS." Business: Theory and Practice 12, no. 1 (2011): 92–98. http://dx.doi.org/10.3846/btp.2011.10.

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The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to „100“ is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns an

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Forsyth, Peter A., and Kenneth R. Vetzal. "Defined Contribution Pension Plans: Who Has Seen the Risk?" Journal of Risk and Financial Management 12, no. 2 (2019): 70. http://dx.doi.org/10.3390/jrfm12020070.

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The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare the outcomes of various asset allocation strategies for a typical DC plan investor. The strategies considered include constant proportion, linear glide path, and optimal dynamic (multi-period) time consistent quadratic shortfall approaches. The last of these is based on a double exponential jump diffus

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Forsyth, Peter A., Kenneth R. Vetzal, and Graham Westmacott. "OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION." ASTIN Bulletin 51, no. 3 (2021): 905–38. http://dx.doi.org/10.1017/asb.2021.19.

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AbstractWe extend the Annually Recalculated Virtual Annuity (ARVA) spending rule for retirement savings decumulation (Waring and Siegel (2015) Financial Analysts Journal, 71(1), 91–107) to include a cap and a floor on withdrawals. With a minimum withdrawal constraint, the ARVA strategy runs the risk of depleting the investment portfolio. We determine the dynamic asset allocation strategy which maximizes a weighted combination of expected total withdrawals (EW) and expected shortfall (ES), defined as the average of the worst 5% of the outcomes of real terminal wealth. We compare the performance

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Irfan, Muhammad, and Wee-Yeap Lau. "Asset Allocation and Performance of Malaysian Civil Service Pension Fund." Australasian Business, Accounting and Finance Journal 18, no. 1 (2024): 86–107. http://dx.doi.org/10.14453/aabfj.v18i1.06.

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Managing pension assets for defined benefit plans is a dynamic optimisation process between the strategic allocation and the future liabilities obligations. A pension fund's optimal asset and liability structure will eventually determine the pension fund's performance. This study examines the Civil Service Pension Fund, or Malaysia Incorporated Retirement Fund (KWAP). Using the data from 2007 to 2018, our results show: First, KWAP has invested in five main asset classes. Its asset allocation strategy shows an increased risk tolerance with greater weight in equities. Second, real estate is the

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Wang, Qinxin, Yuxin Tang, Yanyan Jin, Yutong Lai, Runyin Wang, and Yihua He. "Portfolio Establishment for Asset Allocation based on the Empirical Study." BCP Business & Management 26 (September 19, 2022): 956–72. http://dx.doi.org/10.54691/bcpbm.v26i.2058.

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The purpose of this study is to use Markowitz model and Single-factor index model to determine the optimal portfolio of S&P 500 and 6 stocks from 3 industries under 5 different constraints. The research is looked at stock prices on a daily basis from January 2000 to December 2020 and all data were obtained from secondary sources or non-participatory observation methods. Then this paper also considers the sensitive analysis to investigate the different impacts of factors. The sensitivity analysis tool used in this study was the Solver Table. Through calculation, the optimal portfolio ratio,

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Mkhize, Mkhethwa, and Vuyani Bekwa. "An investigation into the role of listed property shares in a retirement fund portfolio in South Africa." South African Journal of Economic and Management Sciences 12, no. 4 (2011): 392–400. http://dx.doi.org/10.4102/sajems.v12i4.185.

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The main aim of this research paper was to investigate the role of listed property shares in a retirement fund portfolio in South Africa, one objective being to determine the appropriate weightings to be allocated to listed property shares. This research paper uses data collected from January 1995 to December 2004. The Elton and Gruber computer programme is used to test the data to give optimal weightings to the listed property sector and to produce an efficient frontier. The results of this research paper demonstrated the benefits offered by listed property shares and revealed that the sector

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Cai, Zongwu, and Pixiong Chen. "Online Investor Sentiment via Machine Learning." Mathematics 12, no. 20 (2024): 3192. http://dx.doi.org/10.3390/math12203192.

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In this paper, we propose utilizing machine learning methods to determine the expected aggregated stock market risk premium based on online investor sentiment and employing the multifold forward-validation method to select the relevant hyperparameters. Our empirical studies provide strong evidence that some machine learning methods, such as extreme gradient boosting or random forest, show significant predictive ability in terms of their out-of-sample performances with high-dimensional investor sentiment proxies. They also outperform the traditional linear models, which shows a possible unobser

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Ali, Derow Aden. "The Intervening Effect of Investment Policies on the Relationship between Corporate Governance and Performance of Pension Fund Managers in Kenya." Journal of Public Policy & Governance 4, no. 1 (2022): 52–71. http://dx.doi.org/10.53819/81018102t2095.

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The pension fund is a common asset pool meant to generate stable growth over the long term, and provide pensions for employees when they reach the end of their working years and commence retirement. These targeted investments often require union built construction or are aimed at job creation and retention as in the case of private equity investments. Pension fund performance has received increased attention across the world with public pension fund performing dismally when compared to private pension fund.. This study sought to determine the intervening effect of investment policies on the re

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