a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark functions as utility function for such optimization. we employ lim-wong’s benchmark function to solve the asset allocation problem. some advantages of the lim-wong’s benchmark approach have been given. our approach tolerates but progressively penalizes underperformance, and progressively rewards outperformance. a general solution under general market models, benchmarks, and concave benchmarking functions is presented, and insights to the impact of benchmarking to the optimal portfolio are obtained. application of the lim-wong’s benchmark function to an investment in iranian stock market and iranian bank system is given. using a panel data (1381-1391) collected from stock alborz insurance and estimating asset allocation as option, then find optimal wealth strategy derived from asset allocation. finally, we compared optimal wealth as lim wong’s benchmark with terminal wealth portfolio as non-benchmark. considering if stock price is less then strike price, terminal wealth as benchmark equal non benchmark. as to stock price is more than strike price terminal at first terminal wealth of the state non-benchmark is higher, then the terminal wealth as benchmark is higher.