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A Dynamic Model of Pension Fund Companies

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  • Mustafa Akan
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    Abstract

    Two 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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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/isereview51.pdf
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    Bibliographic Info

    Article provided by Research and Business Development Department, Borsa Istanbul in its journal Istanbul Stock Exchange Review.

    Volume (Year): 13 (2013)
    Issue (Month): 51 (April)
    Pages: 1-20

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    Handle: RePEc:bor:iserev:v:13:y:2013:i:51:p:1-1-20

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    Related research

    Keywords: Pension Fund Companies; Dynamic Models; Portfolio Management Fee; Calculus of Variations;

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    1. Sophocles N. Brissimis & Thomas Vlassopoulos, 2007. "The Interaction between Mortgage Financing and Housing Prices in Greece," Working Papers 58, Bank of Greece.
    2. Carliner, Geoffrey, 1973. "Income Elasticity of Housing Demand," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 528-32, November.
    3. Nazif Durmaz, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," Economics Bulletin, AccessEcon, vol. 31(3), pages 2468-2479.
    4. Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "Explaining House Prices in Australia: 1970-2003," The Economic Record, The Economic Society of Australia, vol. 81(s1), pages S96-S103, 08.
    5. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Banco de Espa�a Working Papers 0605, Banco de Espa�a.
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