A Dynamic Model of Pension Fund Companies
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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Volume (Year): 13 (2013)
Issue (Month): 51 (April)
Pages: 1-20
| Handle: | RePEc:bor:iserev:v:13:y:2013:i:51:p:1-1-20 |
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References listed on IDEAS
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