Inflation Hedging in Defined Contribution Pension plan by Investing in Tehran Stock-Exchange

Generating effective defined-contribution pension plan using simulation optimization approach

This paper presents an optimization approach to analyze the problems of portfolio selection for longterm investments, taking into consideration the specific target replacement ratio for defined-contribution (DC) pension scheme; the purpose is to generate an effective multi-period asset allocation that reaches an amount matching the target liability at retirement date and reduce the downside ris...

Bubbles In Tehran Stock Exchange

financing anomalies and investing anomalies in tehran stock exchange

theories and the existing studies predict different the relationship between external financing and investing activities and the stock returns. but almost of them predict that there is negative relationship separately between financing and investing activities with stock returns. this study examined the assumption that there is a significantly negative relationship between external financing ac...

The Role of Inflation-indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phrase

In this paper we investigate the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phrase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the terminal wealth by investing the wealth in a financial market consisting of an inflation-indexed bon...

Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion

Assuming the loss aversion framework of Tversky and Kahneman (1992), stochastic investment and labour income processes, and a path-dependent fund target, we show that the optimal investment strategy for defined contribution pension plan members is a target-driven ‘threshold’ strategy, whereby the equity allocation is increased if the accumulating fund is below target and is decreased if it is a...

Predicting Financial Distress in Tehran Stock Exchange

Companies incur significant costs from the financial distress. Predicting financial distress will have an important role in preventing bankruptcy. The aim of the present study is to predict the financial distress costs using the Leland and Toft models, during 1996 and 1998. This study examines data relating to 49 companies listed in the Tehran stock exchange collected over ten years from 2005 t...