Risk Management for Pension Funds

Risk Management for Pension Funds

AngličtinaPevná väzbaTlač na objednávku
Menoncin, Francesco
Springer, Berlin
EAN: 9783030555276
Tlač na objednávku
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Podrobné informácie

This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

EAN 9783030555276
ISBN 3030555275
Typ produktu Pevná väzba
Vydavateľ Springer, Berlin
Dátum vydania 10. februára 2021
Stránky 239
Jazyk English
Rozmery 235 x 155
Krajina Switzerland
Čitatelia Professional & Scholarly
Autori Menoncin, Francesco
Ilustrácie VII, 239 p. 141 illus., 137 illus. in color.
Edícia 1st ed. 2021
Séria EURO Advanced Tutorials on Operational Research