Multistage stochastic dominance: an application to pension fund management

作     者：Kopa, Milos Moriggia, Vittorio Vitali, Sebastiano 

作者机构：Charles Univ Prague Fac Math & Phys Dept Probabil & Math Stat Sokolovska 83 Prague 18675 Czech Republic Univ Bergamo Dept Econ Via Caniana 2 I-24127 Bergamo BG Italy 

出 版 物：《ANNALS OF OPERATIONS RESEARCH》 (Ann. Oper. Res.)

年 卷 期：2023年

页      面：1-21页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：Czech Science Foundation [19-28231X] MIUR-ex60% 2021 sci.resp. Vittorio Moriggia MIUR-ex60% 2021 and 2022 sci.resp. Sebastiano Vitali Universita degli studi di Bergamo within the CRUI-CARE Agreement 

主　　题：Stochastic programming Portfolio selection Sensitivity analysis Asset and liability management Pension fund Stochastic dominance 

摘      要：A pension fund manager typically decides the allocation of the pension fund assets taking into account a long-term sustainability goal. Many asset and liability management models, in the form of multistage stochastic programming problem, have been proposed to help the pension fund manager to define the optimal allocation given a multi-objective function. The recent literature proposes univariate stochastic dominance constraints to guarantee that the optimal strategy is able to stochastically dominate a benchmark portfolio. In this work we extend previous results (i) considering alternative types of multivariate stochastic dominance that appear more suitable in a multistage framework, (ii) proposing a way to measure the economic cost of introducing stochastic dominance constraints, (iii) proposing a sort of augmented stochastic dominance through a safety margin. Numerical results show the difference between the alternative ways to interpret and apply the multivariate stochastic dominance. These results are evaluated thanks to the proposed economic cost of the stochastic dominance constraints and either in presence or not of a safety margin.