Yazar "Senel, Kerem" seçeneğine göre listele

Listeleniyor 1 - 3 / 3
  • Küçük Resim Yok
    Öğe
    An Evolutionary Algorithm for Deriving Withdrawal Rates in Defined Contribution Schemes
    (Springer Int Publishing Ag, 2015) Senel, Kerem; West, Jason
    Risk-averse investors typically adopt a fixed spending strategy during retirement to prevent against the premature depletion of their retirement portfolio. But a constant withdrawal rate means that retirees accumulate unspent surpluses when markets outperform and face spending shortfalls when markets underperform. The opportunity cost of unspent surpluses associated with this strategy can be extreme. We employ a genetic algorithm to find optimal asset allocation and withdrawal levels for a retirement portfolio. Using US and international data we compare this approach to existing strategies that use basic investment decision rules. Our results show that allocations to riskier assets early in retirement generates rising incomes later in retirement, without increasing the probability of ruin. A rising income profile remains optimal under different levels of risk aversion. This finding disputes the safe withdrawal rate conventions used in contemporary financial advice models.
  • Küçük Resim Yok
    Öğe
    An Evolutionary Approach to Asset Allocation in Defined Contribution Pension Schemes
    (Springer, 2008) Senel, Kerem; Pamukcu, A. Bulent; Yanik, Serhat
    With 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.
  • Küçük Resim Yok
    Öğe
    Hedging Scenarios Under Competition: Exploring the Impact of Competitors' Hedging Practices
    (Springer International Publishing Ag, 2017) Fas, Genco; Senel, Kerem
    Hedging without giving regard to what competitors are doing may actually increase the variance of profits as opposed to decreasing it. In this study, a market maker and an individual firm are taken as the players of a simultaneous game. We explore the impact of competitors' hedging practices on the optimal hedging policy of an individual firm by explicitly considering the other factors such as the level of pass-through of cost shocks and the level of profitability in the industry. Computational results are based on the simulations of an analytical model which incorporates a Nash equilibrium strategy.