Net Contribution, Liquidity, and Optimal Pension Management
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, Changhui | - |
dc.contributor.author | Jang, Bong-Gyu | - |
dc.contributor.author | Kim, Changki | - |
dc.contributor.author | Roh, Sang-youn | - |
dc.date.accessioned | 2021-09-03T16:24:44Z | - |
dc.date.available | 2021-09-03T16:24:44Z | - |
dc.date.created | 2021-06-16 | - |
dc.date.issued | 2016-12 | - |
dc.identifier.issn | 0022-4367 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/86715 | - |
dc.description.abstract | This article presents an optimal portfolio balancing strategy for a pension fund manager in the presence of fixed and proportional transaction costs with respect to stock trades and changes in net contribution. An analytic solution to the one-period problem is presented and a heuristic method for a multiperiod problem is developed. For reasonably calibrated parameters, we find that our numerical results explain the actual asset allocation schemes of some internationally renowned pension funds. Moreover, we show that net contribution and liquidity have significant impacts on the optimal asset allocation of a pension fund. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | PORTFOLIO SELECTION | - |
dc.subject | ASSET ALLOCATION | - |
dc.subject | CONSUMPTION | - |
dc.subject | INVESTMENT | - |
dc.title | Net Contribution, Liquidity, and Optimal Pension Management | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Changki | - |
dc.identifier.doi | 10.1111/jori.12072 | - |
dc.identifier.scopusid | 2-s2.0-84994745323 | - |
dc.identifier.wosid | 000387671700004 | - |
dc.identifier.bibliographicCitation | JOURNAL OF RISK AND INSURANCE, v.83, no.4, pp.913 - 948 | - |
dc.relation.isPartOf | JOURNAL OF RISK AND INSURANCE | - |
dc.citation.title | JOURNAL OF RISK AND INSURANCE | - |
dc.citation.volume | 83 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 913 | - |
dc.citation.endPage | 948 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
dc.subject.keywordPlus | ASSET ALLOCATION | - |
dc.subject.keywordPlus | CONSUMPTION | - |
dc.subject.keywordPlus | INVESTMENT | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.