An Evolutionary Approach to Asset Allocation in Defined Contribution Pension Schemes

dc.authoridSenel, Ilhan Kerem/0000-0003-4496-5149
dc.authorwosidSenel, Ilhan Kerem/D-1153-2019
dc.contributor.authorSenel, Kerem
dc.contributor.authorPamukcu, A. Bulent
dc.contributor.authorYanik, Serhat
dc.date.accessioned2024-07-18T20:52:17Z
dc.date.available2024-07-18T20:52:17Z
dc.date.issued2008
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description1st European Workshop on Evolutionary Computation in Finance and Economics -- APR, 2007 -- Valencia, SPAINen_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.en_US
dc.identifier.endpage+en_US
dc.identifier.isbn978-3-540-77476-1
dc.identifier.issn1860-949X
dc.identifier.scopus2-s2.0-44649133430en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage25en_US
dc.identifier.urihttps://hdl.handle.net/11411/8614
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.publisherSpringeren_US
dc.relation.ispartofNatural Computing in Computational Financeen_US
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectNaive Diversificationen_US
dc.subjectPortfolioen_US
dc.subjectRisken_US
dc.subjectStrategiesen_US
dc.subjectReductionen_US
dc.titleAn Evolutionary Approach to Asset Allocation in Defined Contribution Pension Schemesen_US
dc.typeConference Objecten_US

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