Title: Dynamic Portfolio Investment Strategies with Sub-accounts for Social Security Funds
Abstract: Considering the characteristics of the cognate accounts and dynamic investment for social security funds,we first established the dynamic portfolio investment model under the safe-first rule,then established sub-accounts dynamic portfolio selection model with sub-accounts to direct the investment.We found the optimal portfolios of the model with no market friction or with no-shortselling constraint and distributed the profit among the sub-accounts.Lastly,a numerical example was given to validate the conclusion and to analyze the effect of some parameters.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot