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Title: Optimal Portfolio in Outperforming Its Liability Benchmark for a Defined Benefit Pension Plan
Authors: 李意豐
Yi-Feng Li
Contributors: 張士傑博士
Yi-Feng Li
Keywords: shortfall
defined benefit
liability benchmark
stochastic control
dynamic programming
Date: 2002
Issue Date: 2009-09-18 19:23:47 (UTC+8)
Abstract: 摘要

關鍵字: 短絀、確定給付、負債指標、隨機控制、動態規劃。
This paper analyzes the portfolio problem that is a pension fund manager has to maximize the possibility of reaching his managerial goal before the worst scenario shortfall occurs in a defined benefit pension scheme. The fund ratio process defined as the ratio between the fund level and its accrued liability benchmark is attained to maximize the probability that the predetermined target is achieved before it falls below an intolerable boundary. The time-varying opportunity set in our study includes risk-free cash, bonds and stock index. The problems are formulated as a stochastic control framework and are solved through dynamics programming. In this study, the optimal portfolio are characterized by three components, the liability hedging component, the intertemporal hedging component against changes in the opportunity set, and the temporal hedging component minimizing the variation in fund ratio growth. The Markov chain approximation methods are employed to approximate the stochastic control solutions numerically. The result shows that fund managers should hold large proportions of bonds and time horizon plays a crucial role in constructing the optimal portfolio.
Keywords: shortfall; defined benefit; liability benchmark; stochastic control; dynamic programming.
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Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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