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Printable Handouts
Navigable Slide Index
- Introduction
- General approach
- Other approaches
- Discrete probability scenarios
- Academic references
- Mean variance models (1)
- Mean variance models (2)
- The importance of getting the mean right
- Errors in means, variances and covariances
- Mean percentage cash equivalent loss
- Average turnover
- Optimization
- Modeling asset liability problems
- Possible approaches to model situations
- Asset proportions: not practical
- Stochastic programming approach (1)
- Stochastic programming approach (2)
- Stochastic programming approach (3)
- Stochastic programming approach (4)
- Frank Russell ALM models
- Exact models and stochastic programming
- Stochastic programming versus fixed mix
- A shortfall cost function: target 4 percent a year
- Means, variances & covariances, 6 asset classes
- Scenarios used to represent future outcomes
- Scenarios in three periods
- Example scenario outcomes listed by node
- Comparing of two strategies
- Optimal stochastic strategy vs. fixed-mix strategy
- Example portfolios
- Stochastic dynamic versus fixed mix models
- Advantages of stochastic programming
- The Russell-Yasuda Kasai model (1)
- Computation difficulties
- Why the SP model was needed
- The Yasuda fire and marine insurance company
- Convex piecewise linear risk measure
- Convex risk measure (1)
- Axiomatic development of convex risk measures
- Convex risk measures (2)
- Acceptance sets and risk measures
- Generalized scenarios
- Model constraints and results
- Multistage stochastic linear programming structure
- The Russell-Yasuda Kasai model (2)
- The schematic layout of the model
- Stochastic linear programs
- The dimensions of the implemented problem
- Yasuda Kasai’s decision-making process
- Situation faced by Yasuda fire and marine
- Asset classes for the Russell-Yasuda Kasai model
- Expected allocations in the initialization period
- Expected allocations in the end-effects period
- In summary
This material is restricted to subscribers.
Topics Covered
- Portfolio theory and practice
- Effect of paramater errors
- Convex risk measures
- Scenario optimization
- Asset liability management
- Pension funds
- Retirement
- Siemens Austria pension fund
Links
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Talk Citation
Ziemba, W. (2013, November 5). A dynamic stochastic pension fund model 1 [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved October 13, 2024, from https://doi.org/10.69645/TCKY9779.Export Citation (RIS)
Publication History
A dynamic stochastic pension fund model 1
Published on November 5, 2013
79 min