Net Contribution, Liquidity, and Optimal Pension Management
研究了养老金基金经理在股票交易存在固定和比例交易成本以及净缴款变化时的最优投资组合平衡策略，发现净缴款和流动性对最优资产配置有显著影响。
Abstract This article presents an optimal portfolio balancing strategy for a pension fund manager in the presence of fixed and proportional transaction costs with respect to stock trades and changes in net contribution. An analytic solution to the one‐period problem is presented and a heuristic method for a multiperiod problem is developed. For reasonably calibrated parameters, we find that our numerical results explain the actual asset allocation schemes of some internationally renowned pension funds. Moreover, we show that net contribution and liquidity have significant impacts on the optimal asset allocation of a pension fund.