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題名：Pension Fund Management Using the Markov Chain Approximation
書刊名：Asia Pacific Management Review
作者：Chang, Shih-chieh／Tu, Chang-ye／Tsai, Chenghsien
出版日期：2005
卷期：10:4
頁次：頁259-266
主題關鍵詞：Stochastic control；Markov chain approximation；Pension fund management
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:22
Funding policy and portfolio selection are two crucial issues in pension fund management. Merton (1969, 1971) initially explores these problems in a continuous time framework by constructing the Hamilton-Jacobi-Bellman (HJB) equations. This type of approach becomes complicated when control constraints are incorporate under an incomplete market. In this paper, we suggest using the Markov chain approximation methods proposed by Kushner and Dupuis (1992) to obtain the optimal solutions numerically. Monitoring mechanism linking plausible scenarios and numerical solutions are employed to scrutinize the contributions and asset allocations for defined benefit pension schemes. In the numerical illustration, we estimate the optimal strategies within a simplified two-asset opportunity set. The results show that the plan turnovers, the initial fund levels, and the time horizon heavily influence the optimal strategies.
期刊論文
1.Blake, David、Cairns, Andrew J. G.、Dowd, Kevin(2001)。Pensionmetrics: Stochastic Pension Plan Design and Value-at-risk During the Accumulation Phase。Insurance: Mathematics and Economics，29(2)，187-215。  new window
2.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory，3(4)，373-413。  new window
3.Merton, Robert C.(1969)。Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case。The Review of Economics and Statistics，51(3)，247-257。  new window
4.Chang, S. C.(2000)。Realistic pension funding: A stochastic approach。Journal of Actuarial Practice，8，5-42。  new window
5.Chang, S. C.、Tzeng, L. Y.、Miao, J. C. Y.(2003)。Optimal Pension Funding Incorporating Downside Risks。Insurance: Mathematics and Economics，32(2)，217-228。  new window
6.Josa-Fombellida, R.、Rincon-Zapatero, J. P.(2001)。Minimization of Risks in Pension Funding by Means of Contributions and Portfolio Selection。Insurance: Mathematics and Economics，29，35-45。  new window
7.Chang, S. C.(1999)。Optimal Pension Funding Through Dynamic Simulations: The Case of Taiwan Public Employees Retirement System。Insurance: Mathematics and Economics，24(3)，187-199。  new window
8.Haberman, Steven、Sung, Joo-Ho(1994)。Dynamic Approaches to Pension Funding。Insurance: Mathematics and Economics，15(2/3)，151-162。  new window
9.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。  new window
10.Haberman, Steven(1997)。Stochastic Investment Returns and Contribution Rate Risk in a Defined Benefit Pension Scheme。Insurance: Mathematics and Economics，19，7-139。  new window
11.O'Brien, Thomas(1986)。A Stochastic-dynamic Approach to Pension Funding。Insurance: Mathematics and Economics，5(2)，141-146。  new window
12.O'Brien, Thomas(1987)。A Two-parameter Family of Pension Contribution Functions and Stochastic Optimization。Insurance: Mathematics and Economics，6(2)，129-134。  new window
13.Runggaldier, Wolfgang J.(1998)。Concept and Methods for Discrete and Continuous Time Control under Uncertainty。Insurance: Mathematics and Economics，22(1)，25-39。  new window
14.Schäl, Manfred(1998)。On Piecewise Deterministic Markov Control Processes: Control of Jumps and of Risk Processes in Insurance。Insurance: Mathematics and Economics，22(1)，75-91。  new window
15.Cairns, Andrew(2000)。Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time。ASTIN Bulletin，30(1)，19-55。  new window
16.Cuoco, Domenico(1997)。Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income。Journal of Economic Theory，72(1)，33-73。  new window
17.Bismut, J. M.(1973)。Conjugate Convex Functions in Optimal Stochastic Control。Journal of Mathematical Analysis and Applications，44(2)，384-404。  new window
18.何樺、Pagès, Henri F.(1993)。Labor Income, Borrowing Constraints and Equilibrium Asset Prices: A Duality Approach。Economic Theory，3(4)，663-696。  new window
19.張士傑(2000)。應用隨機風險控制於退休基金評價。管理學報，17(3)，547-561。  延伸查詢new window
20.Karatzas, Ioannis、Cvitanic, Jaksa(1992)。Convex Duality in Constrained Portfolio Optimization。The Annals of Applied Probability，2(4)，767-818。  new window
21.張士傑、Cheng, Hsin-Yi(2002)。Pension Valuation Under Uncertainties: Implementation of a Stochastic and Dynamic Monitoring System。The Journal of Risk and Insurance，69(2)，171-192。  new window
22.張士傑、蔡政憲、田嘉蓉、杜昌燁(2002)。Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: Model Incorporating Asset-liability Matching Criterions。Journal of Actuarial Practice，10，131-155。  new window
23.Karatzas,Ioannis、Lehoczky, John P.、Sethi, Suresh P.、Shreve, Steven E.(1986)。Explicit Solution of a General Consumption/ Investment Problem。Mathematics of Operations Research，11(2)，261-294。  new window
24.Menoncin, Francesco(2002)。Optimal Portfolio and Background Risk: An Exact and an Approximated Solution。Insurance: Mathematics and Economics，31，249-265。  new window
25.Sharpe, William F.(1991)。Capital Asset Prices with and without Negative Holdings。The Journal of Finance，46(2)，489-509。  new window
26.Hindy, Ayman、Huang, Chi-Fu、Zhu, Steven H.(1997)。Numerical Analysis of a Free-boundary Singular Control Problem in Financial Economics。Journal of Economic Dynamics and Control，21(2/ 3)，297-327。  new window
27.Kushner, Harold J.(1990)。Numerical Methods for Stochastic Control Problems in Continuous Time。SIAM Journal on Control and Optimization，28(5)，999-1408。  new window
28.Magill, Michael J. P.(1976)。The Preferability of Investment through a Mutual Fund。Journal of Economic Theory，13(2)，264-271。  new window
29.Monoyios, Michael(2004)。Option Pricing with Transaction Costs Using a Markov Chain Approximation。Journal of Economic Dynamics and Control，28(5)，889-913。  new window
30.Munk, Claus(2000)。Optimal Consumption/ Investment Policies with Undiversifiable Income Risk and Liquidity Constraints。Journal of Economic Dynamics and Control，24(9)，1315-1343。  new window
研究報告
1.Kushner, Harold J.(1997)。Existence of Optimal Controls for Variance Control。0。  new window
2.Kushner, Harold J.(1998)。Numerical Methods for Variance Control, with Applications to Optimization in Finance。0。  new window
圖書
1.Felming, Wendell H.、Rishel, Raymond W.(1975)。Deterministic and Stochastic Optimal Control。New York, NY：Springer-Verlag。  new window
2.Pliska, Stanley R.(1997)。Introduction to Mathematical Finance: Discrete Time Models。Oxford：Blackwell Publishers Inc.。  new window
3.Anderson, A. W.(1992)。Pension Mathematics for Actuaries。Winsted, Connecticut：ACTEX Publications。  new window
4.Kushner, Harold Joseph、Dupuis, Paul(1992)。Numerical Methods for Stochastic Control Problems in Continuous Time。Numerical Methods for Stochastic Control Problems in Continuous Time。New York, NY。  new window
 
 
 
 
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