Ti trovi qui: Home » Archivio In primo piano

Seminario CEFIN: How to choose where to invest in a pension fund

Il CEFIN, Centro Studi Banca e Finanza, organizza per il giorno 3 aprile 2017, alle ore 10.15, presso l' aula Seminari del Dipartimento di Economia Marco Biagi, un seminario dal titolo How to choose where to invest in a pension fund. Relatore è il prof. Sebastiano Vitali, della Charles University (Praga).

Abstract
An individual investor has to decide how to allocate his/her savings from a retirement perspective. In this paper we consider a 40-year horizon formulating a multi-criteria multistage program with stochastic dominance constraints. The sources of uncertainty considered are: the financial returns, the interest rate evolution, the investor’s salary process and a considerable withdrawal event. We include a set of portfolio constraints according to the pension plan regulation. The objective of the model is to minimize the Average Value at Risk Deviation measure and to satisfy wealth goals. Three different wealth target formulations are considered: a deterministic wealth target (i.e. a comparison between the accumulated average wealth and a fixed threshold) and two stochastic dominance relations. In particular, we prove that solutions obtained under stochastic dominance constraints ensure a safer allocation while still guaranteeing good returns.

Per maggiori informazioni
> locandina
 

[Ultimo aggiornamento: 06/04/2017 11:33:28]