Applications of Markowitz Portfolio Theory To Pension Fund Design

被引:1
|
作者
Elton, Edwin J. [1 ]
Gruber, Martin J. [1 ]
Blake, Christopher R. [2 ]
机构
[1] NYU, Stern Sch Business, Dept Finance, Kaufman Management Ctr, New York, NY 10012 USA
[2] Fordham Univ, Grad Sch Business Adm, Bronx, NY 10458 USA
关键词
401(K) PLANS; PERFORMANCE; SELECTION; CHOICES;
D O I
10.1007/978-0-387-77439-8_14
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:419 / +
页数:3
相关论文
共 50 条
  • [21] PORTFOLIO SELECTION - MARKOWITZ,HM
    ALLEN, RGD
    ECONOMICA, 1960, 27 (106) : 189 - 190
  • [22] PORTFOLIO SELECTION - MARKOWITZ,HM
    ROY, AD
    ECONOMETRICA, 1961, 29 (01) : 99 - 100
  • [23] Private Equity Fund Found Liable for Pension Obligations of Bankrupt Portfolio Company
    Misher, Norman J.
    Brock, Gia G.
    JOURNAL OF PRIVATE EQUITY, 2008, 12 (01): : 92 - 95
  • [24] Portfolio choice with illiquid asset for a loss-averse pension fund investor
    Chen, Zheng
    Li, Zhongfei
    Zeng, Yan
    INSURANCE MATHEMATICS & ECONOMICS, 2023, 108 : 60 - 83
  • [25] Pension schemes as options on pension fund assets: implications for pension fund management
    Blake, D
    INSURANCE MATHEMATICS & ECONOMICS, 1998, 23 (03): : 263 - 286
  • [26] A research using the combined CDC algorithm and Markowitz in mutual fund portfolio - An example using the Taiwan funds
    Chen, Li-Chiu
    Lin, Ya-Mei
    Liu, Chia-Ni
    Chen, Jeanne
    Chen, Tung-Shou
    PROCEEDING OF THE SEVENTH INTERNATIONAL CONFERENCE ON INFORMATION AND MANAGEMENT SCIENCES, 2008, 7 : 12 - 15
  • [27] OPTIMAL DESIGN OF THE ATTRIBUTION OF PENSION FUND PERFORMANCE TO EMPLOYEES
    Mueller, Heinz
    Schiess, David
    JOURNAL OF RISK AND INSURANCE, 2014, 81 (02) : 431 - 468
  • [28] ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
    Bai, Zhidong
    Liu, Huixia
    Wong, Wing-Keung
    MATHEMATICAL FINANCE, 2009, 19 (04) : 639 - 667
  • [29] An Inequality for Detecting Financial Fraud, Derived from the Markowitz Optimal Portfolio Theory
    Bard, Gregory V.
    APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE'16), 2016, 1789
  • [30] The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory
    Chvatalova, Zuzana
    Trenz, Oldrich
    Sladkova, Jitka
    39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021), 2021, : 214 - 219