Advanced Search
MyIDEAS: Login

A Comparative Study For Multi-Period Asset Allocation Of Defined Contribution Schemes: Evidence From Turkey

Contents:

Author Info

  • Kerem SENEL

    (Bogazici University)

  • A. Bulent PAMUKCU

    (Istanbul Commerce University)

Registered author(s):

    Abstract

    Long term asset allocation is more complicated than the usual asset allocation paradigm due to the multi-period nature of the problem. Since analytical models usually oversimplify for the sake of mathematical convenience, a fundamentally different approach is needed. Numerical solutions such as genetic algorithms provide an important alternative to analytical solutions in handling the inherent complexity which manifests itself as discontinuities and nonlinearities of the solution space. Complementing our previous studies with hypothetical and US market data, this study brings further evidence on the comparative performance of numerical solutions for multi-period asset allocation from an emerging market.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.ticaret.edu.tr/RePEc/icu/journl/s21/289_304.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Istanbul Commerce University in its journal Istanbul Commerce University Journal of Social Sciences.

    Volume (Year): 21 (2012)
    Issue (Month): 1 ()
    Pages: 289-304

    as in new window
    Handle: RePEc:icu:journl:v:21:y:2012:i:1:p:289-304

    Contact details of provider:
    Web page: http://www.ticaret.edu.tr
    More information through EDIRC

    Related research

    Keywords: Asset allocation; pension fund; life cycle fund; genetic algorithm;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    3. Hibiki, Norio, 2006. "Multi-period stochastic optimization models for dynamic asset allocation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 365-390, February.
    4. Huang, Hong-Chih & Lee, Yung-Tsung, 2010. "Optimal asset allocation for a general portfolio of life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 271-280, April.
    5. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
    6. Richard H. Thaler & Shlomo Benartzi, 2001. "Naive Diversification Strategies in Defined Contribution Saving Plans," American Economic Review, American Economic Association, vol. 91(1), pages 79-98, March.
    7. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2010. "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates," European Journal of Operational Research, Elsevier, vol. 201(1), pages 211-221, February.
    8. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    9. Vigna, Elena & Haberman, Steven, 2001. "Optimal investment strategy for defined contribution pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 233-262, April.
    10. L. Ingber, 1993. "Simulated annealing: Practice versus theory," Lester Ingber Papers 93sa, Lester Ingber.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:icu:journl:v:21:y:2012:i:1:p:289-304. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elcin Aykac Alp).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.