Global Asset Return In Pension Funds: A Dynamical Risk Analysis

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Executive Summary

The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their pointwise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter's influence on periodic contributions and/or future benefits. However, in periods of market crisis attention is focused on the risk level given their social security (and not speculative) function. The authors describe the process of the global asset return by a multifractional Brownian motion using the function H(t) to detect high or low volatility phases.

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