A model for managing pension funds with benchmarking in an inflationary market
Magister Scientiae - MSc === Aggressive fiscal and monetary policies by governments of countries and central banks in developed markets could somehow push inflation to some very high level in the long run. Due to the decreasing of pension fund benefits and increasing inflation rate, pension companie...
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University of the Western Cape
2014
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Online Access: | http://hdl.handle.net/11394/2572 |
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ndltd-netd.ac.za-oai-union.ndltd.org-uwc-oai-etd.uwc.ac.za-11394-25722018-09-06T04:53:32Z A model for managing pension funds with benchmarking in an inflationary market Nsuami, Mozart Witbooi, Peter J. Dept. of Mathematics Faculty of Science Martingale method Stagflation Benchmark Stochastic Optimal contro Cyclicality Inflation Lifestyle Mean-shortfall Measure of transformation techniques Guarantee Magister Scientiae - MSc Aggressive fiscal and monetary policies by governments of countries and central banks in developed markets could somehow push inflation to some very high level in the long run. Due to the decreasing of pension fund benefits and increasing inflation rate, pension companies are selling inflation-linked products to hedge against inflation risk. Such companies are seriously considering the possible effects of inflation volatility on their investment, and some of them tend to include inflationary allowances in the pension payment plan. In this dissertation we study the management of pension funds of the defined contribution type in the presence of inflation-recession. We study how the fund manager maximizes his fund's wealth when the salaries and stocks are affected by inflation. In this regard, we consider the case of a pension company which invests in a stock, inflation-linked bonds and a money market account, while basing its investment on the contribution of the plan member. We use a benchmarking approach and martingale methods to compute an optimal strategy which maximizes the fund wealth. South Africa 2014-01-15T12:32:31Z 2011/06/07 14:09 2011/06/07 2014-01-15T12:32:31Z 2011 Thesis http://hdl.handle.net/11394/2572 en University of the Western Cape University of the Western Cape |
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Martingale method Stagflation Benchmark Stochastic Optimal contro Cyclicality Inflation Lifestyle Mean-shortfall Measure of transformation techniques Guarantee |
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Martingale method Stagflation Benchmark Stochastic Optimal contro Cyclicality Inflation Lifestyle Mean-shortfall Measure of transformation techniques Guarantee Nsuami, Mozart A model for managing pension funds with benchmarking in an inflationary market |
description |
Magister Scientiae - MSc === Aggressive fiscal and monetary policies by governments of countries and central banks in developed markets could somehow push inflation to some very high level in the long run. Due to the decreasing of pension fund benefits and increasing inflation rate, pension companies are selling inflation-linked products to hedge against inflation risk. Such companies are seriously considering the possible effects of inflation volatility on their investment, and some of them tend to include inflationary allowances in the pension payment plan. In this dissertation we study the management of pension funds of the defined contribution type in the presence of inflation-recession. We study how the fund manager maximizes his fund's wealth when the salaries and stocks are affected by inflation. In this regard, we consider the case of a pension company which invests in a stock, inflation-linked bonds and a money market account, while basing its investment on the contribution of the plan member. We use a benchmarking approach and martingale methods to compute an optimal strategy which maximizes the fund wealth. === South Africa |
author2 |
Witbooi, Peter J. |
author_facet |
Witbooi, Peter J. Nsuami, Mozart |
author |
Nsuami, Mozart |
author_sort |
Nsuami, Mozart |
title |
A model for managing pension funds with benchmarking in an inflationary market |
title_short |
A model for managing pension funds with benchmarking in an inflationary market |
title_full |
A model for managing pension funds with benchmarking in an inflationary market |
title_fullStr |
A model for managing pension funds with benchmarking in an inflationary market |
title_full_unstemmed |
A model for managing pension funds with benchmarking in an inflationary market |
title_sort |
model for managing pension funds with benchmarking in an inflationary market |
publisher |
University of the Western Cape |
publishDate |
2014 |
url |
http://hdl.handle.net/11394/2572 |
work_keys_str_mv |
AT nsuamimozart amodelformanagingpensionfundswithbenchmarkinginaninflationarymarket AT nsuamimozart modelformanagingpensionfundswithbenchmarkinginaninflationarymarket |
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1718731053509640192 |