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Taxation Effects on the Optimal Pension Fund Portfolio

Romaniuk, Katarzyna - 2011

The paper deals with taxation effects on optimal portfolio rules of de fined contribution (DC) and de fined benefi t (DB) pension funds in a continuous-time setting. Following practice, three tax types are considered: on contributions, investment gains and pensions. We focus on the tax effects...

Persistent link: https://www.econbiz.de/10013133519

A Portfolio Approach to the Optimal Mix of Paygo and Funded Pension Systems

Romaniuk, Katarzyna - 2011

We analyze the rationale for the pay-as-you-go (paygo) pension system existence on diversi fication grounds. A continuous-time portfolio choice setting is built, basing on Merton (1971)´s analysis, where a reasonable balance between the taking account of the economic and fi nancial facets of...

Persistent link: https://www.econbiz.de/10013133520

Better than Dynamic Mean-Variance : Time Inconsistency and Free Cash Flow Stream

Li, Duan - 2011

-variance policy is dominated could have a profound impact on the theory of portfolio selection and asset pricing …

Persistent link: https://www.econbiz.de/10013134488

Probability Metrics Applied to Problems in Portfolio Theory

Stoyanov, Stoyan V. - 2010

In the paper, we consider the application of the theory of probability metrics in several areas in the eld of nance …, the methods of the theory of probability metrics can be used to arrive at a general axiomatic treatment of dispersion … metrics theory are applied to the benchmark-tracking problem significantly extending the problem setting …

Persistent link: https://www.econbiz.de/10013134897

Optimal Financial Portfolios

Stoyanov, Stoyan V. - 2010

We consider classes of reward-risk optimization problems that arise from different choices of reward and risk measures. In certain examples the generic problem reduces to linear or quadratic programming problems. We state an algorithm based on a sequence of convex feasibility problems for the...

Persistent link: https://www.econbiz.de/10013134904

A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

Sotirov, Renata - 2010

We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on...

Persistent link: https://www.econbiz.de/10013136268

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the...

Persistent link: https://www.econbiz.de/10013137970

Portfolio Optimization in Electricity Trading with Limited Liquidity

Woll, Oliver - 2010

In principle, portfolio optimization in electricity markets can make use of the standard mean‐variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An...

Persistent link: https://www.econbiz.de/10013139408

Portfolio Risk Management with CVaR-Like Constraints

Cox, Samuel H. - 2012

Recently, a lot of attention has been focused on developing portfolio allocation models that take into account the asymmetric nature of asset return distributions. In this paper, we extend Krokhmal, Palmquist, and Uryasev's approach by using CVaR-like constraints in the traditional portfolio...

Persistent link: https://www.econbiz.de/10013114192

Particle Swarm Optimization with Non-Smooth Penalty Reformulation for a Complex Portfolio Selection Problem

Corazza, Marco - 2012

In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In...

Persistent link: https://www.econbiz.de/10013114329