Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
173 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
46 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

A liability tracking approach to long term management of pension funds (1303.3956v1)

Published 16 Mar 2013 in q-fin.PM

Abstract: 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.

Summary

We haven't generated a summary for this paper yet.