An evolutionary approach to asset allocation in defined contribution pension schemes

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dc.contributor.authorŞenel, Kerem
dc.contributor.authorPamukçu, A. Bülent
dc.contributor.authorYanık, Serhat
dc.date.accessioned2020-11-21T15:55:44Z
dc.date.available2020-11-21T15:55:44Z
dc.date.issued2008en_US
dc.departmentİstanbul Ticaret Üniversitesien_US
dc.description.abstractWith the increasing popularity of defined contribution pension schemes, the related asset allocation problem has become more prominent. The usual portfolio asset allocation approach is far from being appropriate since the asset allocation problem faced by defined contribution pension schemes is fundamentally different. There have been many attempts to solve the problem analytically. However, most of these analytical solutions fail to incorporate real world constraints such as short selling restrictions for the sake of mathematical tractability. In this chapter, we present an evolutionary approach to the asset allocation problem in defined contribution pension schemes. In particular, we compare the simulation results from a genetic algorithm with the results from an analytical model, a simulated annealing algorithm, and two asset allocation strategies that are widely used in practice, namely the life cycle and threshold (funded status) strategies. © 2008 Springer-Verlag Berlin Heidelberg.en_US
dc.identifier.doi10.1007/978-3-540-77477-8_3en_US
dc.identifier.endpage51en_US
dc.identifier.issn1860949X
dc.identifier.issn9.78354E+12
dc.identifier.scopus2-s2.0-44649133430en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.startpage25en_US
dc.identifier.urihttps://doi.org/10.1007/978-3-540-77477-8_3
dc.identifier.urihttps://hdl.handle.net/11467/4044
dc.identifier.volume100en_US
dc.identifier.wosWOS:000260628200003en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.relation.ispartofStudies in Computational Intelligenceen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.titleAn evolutionary approach to asset allocation in defined contribution pension schemesen_US
dc.typeArticleen_US

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