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• W2148462363 abstract "ABSTRACTWe introduce a dynamic formulation for the problem of portfolio selection of pension funds in the absence of a risk-free asset. In emerging markets, a risk-free asset might be unavailable, and the approaches commonly used may no longer be suitable. We use a parametric approach to combine dynamic programming and Monte Carlo simulation to gain additional flexibility. This approach is general in the sense that optimal asset allocation is tractable for all HARA utility functions in the absence of a risk-free asset. The traditional case composed of several risky assets and one risk-free asset is compared to a case in which the risk-free asset is unavailable." @default.
• W2148462363 created "2016-06-24" @default.
• W2148462363 creator A5023892676 @default.
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• W2148462363 date "2015-10-09" @default.
• W2148462363 modified "2023-09-26" @default.
• W2148462363 title "Modeling a Dynamic Portfolio for Pension Plans in Emerging Markets With Myopic and Nonmyopic Behavior" @default.
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• W2148462363 doi "https://doi.org/10.1080/1540496x.2015.1080553" @default.
• W2148462363 hasPublicationYear "2015" @default.
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