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Portfolio Allocation for Public Pension Funds [PDF]
This paper presents a dynamic model of a public pension fund’s choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management ...
George Pennacchi, Mahdi Rastad
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Housing as Asset‐Based Welfare in Australia: An Investigation Through a Consumption Lens
Australian Journal of Social Issues, EarlyView.ABSTRACT Housing asset‐based welfare has long been a key component of Australia's social policy. This resonates with a parallel literature identifying a trade‐off between homeownership and the size of nations' welfare states, wherein owner‐occupiers in smaller welfare states tend to come to rely on housing wealth to meet many of their welfare needs ...
Gavin A. Wood +3 more
wiley +1 more source
Use of Prediction Bias in Active Learning and Its Application to Large Variable Annuity Portfolios
RisksGiven the computational challenges associated with valuing large variable annuity (VA) portfolios, a variety of data mining frameworks, including metamodeling and active learning, have been proposed in recent years.
Hyukjun Gweon, Shu Li, Yangxuan Xu
doaj +1 more source
Receivables portfolio valuation for cession
, 2014 Diplomová práce se zabývá oceněním portfolia pohledávek za fyzickými osobami pro potřeby cese. Cílem práce je představit metodologii oceňovacího modelu a na ilustrovat ho na případové studii.
Dvořák, Martin
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Essays on dynamic portfolio management [PDF]
Over the last three decades, there has been an increasing interest in the problem of the investor's optimal consumption and portfolio rules. Despite the substantial amount of related literature, there remain many areas for further investigation.
Liao, Chien-Hui
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Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]
, 2005 Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
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Hedging global environment risks: An option based portfolio insurance [PDF]
This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maximize their expected utilities defined on financial and environmental asset ...
Jean-Luc Prigent, André de Palma
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macroeconomic influences on investment instruments, portfolio valuations and valuation methods
, 2023 German venture capitalists are facing challenges due to macroeconomic factors and current geopolitical dynamics. Through a systematic analysis of the literature and interviews with German venture investors, this paper investigates how investment ...
Stepputatis, Jan Malte
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Simulation discounted cash flow valuation for internet companies
, 2008 Discounted cash flow (DCF) is the most accepted approach for company valuation. It is well grounded in theory and practice. However, the DCF approach, which is commonly used for traditional companies valuation, presents a number of serious weaknesses ...
Ali, M +3 more
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Valuation Procedures for Portfolio Investments [PDF]
, 2002 Investment Companies are financial intermediaries between investors and investments. Investors buy shares in Investment Companies, which are entities that invest these share revenues in order to make income from dividends, received interests and capital ...
Lantz, Peter +2 more
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