Portfolio Management for Pension Funds
نویسندگان
چکیده
This paper introduces the use of dynamic stochastic optimisation pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic methods of solving optimization problems and modelling of required risk tolerances. In nearly all the historical backtests using data over roughly the past decade the system described (with transactions costs taken into account) outperformed the benchmark S&P500.
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