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A Dynamic Model of Pension Fund Companies

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  • Mustafa Akan

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.

Suggested Citation

  • Mustafa Akan, 2013. "A Dynamic Model of Pension Fund Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 13(51), pages 1-20, April.
    • 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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    More about this item

    Keywords

    Pension Fund Companies; Dynamic Models; Portfolio Management Fee; Calculus of Variations;
    All these keywords.

    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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