IDEAS home Printed from https://ideas.repec.org/a/bor/iserev/v13y2013i51p1-1-20.html
   My bibliography  Save this article

A Dynamic Model of Pension Fund Companies

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/isereview51.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    2. Sophocles Brissimis & Thomas Vlassopoulos, 2009. "The Interaction between Mortgage Financing and Housing Prices in Greece," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 146-164, August.
    3. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Working Papers 0605, Banco de España;Working Papers Homepage.
    4. Nazif Durmaz, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," Economics Bulletin, AccessEcon, vol. 31(3), pages 2468-2479.
    5. Carliner, Geoffrey, 1973. "Income Elasticity of Housing Demand," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 528-532, November.
    6. 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 96-103, August.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bor:iserev:v:13:y:2013:i:51:p:1-1-20. 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: (Ahmet Palu). General contact details of provider: http://edirc.repec.org/data/rdisetr.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.