Munich Personal RePEc Archive

Target variation in a loss avoiding pension fund problem

Foster, Jarred (2011): Target variation in a loss avoiding pension fund problem.

[img]
Preview
PDF
MPRA_paper_36177.pdf

Download (517Kb) | Preview

Abstract

This study builds on the findings in Krawczyk (2008), where a 'cautious relaxed' utility measure is introduced in the solving of a dynamic portfolio management problem. The new measure provides distributions that are left skewed in contrast to the right skewed distributions previously found. This paper builds on these findings by testing the effect of increasing the client's target and introducing the manager's preferences. It is found that increasing the target causes the distribution to become less left skewed, causing higher probabilities of loss. The pension fund manager considering his own payoff does not significantly affect the results and in some cases improves them.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.