Multistage stochastic dominance: an application to pension fund management
研究了多阶段随机占优在养老基金管理中的应用，提出了多变量随机占优、经济成本衡量和安全边际方法，帮助基金经理制定优于基准的资产配置策略。
Abstract 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.