A Dynamic Model of Pension Fund Companies
AbstractTwo dynamic profit maximizing models of a pension fund company are developed and solved using calculus of variations techniques. Starting with a low portfolio management fee and increasing it gradually to a level of interest rate of Government paper is shown to be the optimal strategy which is contrary to the observed behavior of such companies. Thus, this result should lead the managers of such funds to review their pricing strategies.
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Bibliographic InfoArticle provided by Research and Business Development Department, Borsa Istanbul in its journal Istanbul Stock Exchange Review.
Volume (Year): 13 (2013)
Issue (Month): 51 (April)
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More information through EDIRC
Pension Fund Companies; Dynamic Models; Portfolio Management Fee; Calculus of Variations;
Find related papers by JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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