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Title: Generating effective defined-contribution pension plan using simulation
Authors: Yu, Tzu-Yi;Huang, Hong-Chih;Chen, Chun-Lung;Lin, Qun-Ting
Contributors: 風管系
Keywords: Defined-contribution pension;Evolution strategies;Multi-period asset allocation;Simulation optimization
Date: 2012.02
Issue Date: 2014-03-06 16:23:17 (UTC+8)
Abstract: This paper presents an optimization approach to analyze the problems of portfolio selection for long-term investments, taking into consideration the specific target replacement ratio for defined-contribution (DC) pension scheme; the purpose is to generate an effective multi-period asset allocation that reaches an amount matching the target liability at retirement date and reduce the downside risk of the investment. A multi-period asset liability simulation model was used to generate 4000 asset return predictions, and an evolutionary algorithm, evolution strategies, was incorporated into the model to generate multi-period asset allocations under four conditions, considering different weights for measuring the importance of matching the target liability and different periods of downside risk measurement. Computational results showed that the evolutionary algorithm, evolution strategies, is a very robust and effective approach to generate promising asset allocations under all the four cases. In addition, computational results showed that the promising asset allocations revealed valuable information, which is able to help fund managers or investors achieve a higher average investment return or a lower level of volatility under different conditions.
Relation: Expert Systems with Applications, 39(3), 2684-2689
Data Type: article
DOI 連結:
Appears in Collections:[風險管理與保險學系] 期刊論文

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