Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits...

In the present article we develop a discrete-time methodology to compare frontend load and balance fees in the accumulation phase of a defined-contribution pension fund under the system of individual accounts. Additionally, using various methods, we study the effect of considering risk and...

In this article, we determine a charge on balance that is equivalent to a certain fixed charge on flow for a particular utility-maximizer affiliate participating in a defined-contribution pension fund under the system of individual accounts. We also prove, under market completeness, that the...