Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad Autónoma Metropolitana
2013
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| _version_ | 1876478104925372416 |
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| author | Oscar De la Torre Torres |
| author_facet | Oscar De la Torre Torres |
| contents | Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán Oscar De la Torre Torres Economía y Finanzas Keywords Keywords asset pricing asset pricing portfolio choice This paper presents the usefulness of an active portfolio management process with ortho - gonal garch ( ogarch ) matrixes in order to achieve a 7.5% actuarial target return in de - fined benefit pension funds such as the Dirección de Pensiones Civiles del Estado de Michoacán. To prove this, four discrete event simulations were performed using, in the first scenario, a passive portfolio management process with a target position rebalancing discipline and, in the other three, an active portfolio management with a range portfolio rebalancing one . In these last three simulations, a constant covariance, a Gaussian distri - bution ogarch and a Student's t -distribution ogarch covariance matrix were used. The attained results suggest that the Student's t -distribution ogarch matrix is the most suita - ble for the investment process. 2013 artículo científico 0188-3380 https://www.redalyc.org/articulo.oa?id=281130720006 en http://www.redalyc.org/revista.oa?id=2811 Economía: Teoría y práctica application/pdf Universidad Autónoma Metropolitana Economía: Teoría y práctica (México) Num.39 |
| format | Artículo científico |
| id | redalyc_281130720006 |
| institution | Redalyc |
| language | en |
| publishDate | 2013 |
| publisher | Universidad Autónoma Metropolitana |
| spellingShingle | Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán Oscar De la Torre Torres Economía y Finanzas Keywords Keywords asset pricing asset pricing portfolio choice Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán Oscar De la Torre Torres Economía y Finanzas Keywords Keywords asset pricing asset pricing portfolio choice This paper presents the usefulness of an active portfolio management process with ortho - gonal garch ( ogarch ) matrixes in order to achieve a 7.5% actuarial target return in de - fined benefit pension funds such as the Dirección de Pensiones Civiles del Estado de Michoacán. To prove this, four discrete event simulations were performed using, in the first scenario, a passive portfolio management process with a target position rebalancing discipline and, in the other three, an active portfolio management with a range portfolio rebalancing one . In these last three simulations, a constant covariance, a Gaussian distri - bution ogarch and a Student's t -distribution ogarch covariance matrix were used. The attained results suggest that the Student's t -distribution ogarch matrix is the most suita - ble for the investment process. 2013 artículo científico 0188-3380 https://www.redalyc.org/articulo.oa?id=281130720006 en http://www.redalyc.org/revista.oa?id=2811 Economía: Teoría y práctica application/pdf Universidad Autónoma Metropolitana Economía: Teoría y práctica (México) Num.39 |
| title | Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán |
| topic | Economía y Finanzas Keywords Keywords asset pricing asset pricing portfolio choice |
| url | https://www.redalyc.org/articulo.oa?id=281130720006 |