A Dynamic Model of Pension Fund Companies

Two dynamic profit maximizing models of a pension fund company are developed and solved using calculus of variations techniques. Starting with a low portfolio management fee and increasing it gradually to a level of interest rate of Government paper is shown to be the optimal strategy which is contrary to the observed behavior of such companies. Thus, this result should lead the managers of such funds to review their pricing strategies.

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Year of publication:	2013
Authors:	Akan, Mustafa
Published in:	Istanbul Stock Exchange Review. - Research Department. - Vol. 13.2013, 51, p. 1-20
Publisher:	Research Department
Subject:	Pension Fund Companies \| Dynamic Models \| Portfolio Management Fee \| Calculus of Variations

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Extent:	application/pdf
Type of publication:	Article
Classification:	G20 - Financial Institutions and Services. General ; G23 - Pension Funds; Other Private Financial Institutions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010754034