文章基本信息

标题：A Liability Tracking Approach to Long Term Management of Pension Funds
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作者：Masashi Ieda ; Takashi Yamashita ; Yumiharu Nakano 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2013
卷号：3
期号：3
页码：392-400
DOI：10.4236/jmf.2013.33040
出版社：Scientific Research Publishing
摘要：We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two numerical results using empirical data published by Japanese organizations are served: simulations tracking an artificial liability and an estimated liability of Japanese organization. The latter one demonstrates that our optimal portfolio strategy can hedge his or her liability.
关键词：Pension Fund Management; Long Term Portfolio Optimization; Quadratic Hedging; Stochastic Optimal Control; Hamilton-Jacobi-Bellman Equations; LQG Control