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dc.contributor.advisorWitbooi, Peter J.
dc.contributor.authorNsuami, Mozart
dc.contributor.otherDept. of Mathematics
dc.contributor.otherFaculty of Science
dc.date.accessioned2014-01-15T12:32:31Z
dc.date.available2011/06/07 14:09
dc.date.available2011/06/07
dc.date.available2014-01-15T12:32:31Z
dc.date.issued2011
dc.identifier.urihttp://hdl.handle.net/11394/2572
dc.descriptionMagister Scientiae - MScen_US
dc.description.abstractAggressive fiscal and monetary policies by governments of countries and central banks in developed markets could somehow push inflation to some very high level in the long run. Due to the decreasing of pension fund benefits and increasing inflation rate, pension companies are selling inflation-linked products to hedge against inflation risk. Such companies are seriously considering the possible effects of inflation volatility on their investment, and some of them tend to include inflationary allowances in the pension payment plan. In this dissertation we study the management of pension funds of the defined contribution type in the presence of inflation-recession. We study how the fund manager maximizes his fund's wealth when the salaries and stocks are affected by inflation. In this regard, we consider the case of a pension company which invests in a stock, inflation-linked bonds and a money market account, while basing its investment on the contribution of the plan member. We use a benchmarking approach and martingale methods to compute an optimal strategy which maximizes the fund wealth.en_US
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.subjectMartingale methoden_US
dc.subjectStagflationen_US
dc.subjectBenchmarken_US
dc.subjectStochasticen_US
dc.subjectOptimal controen_US
dc.subjectCyclicalityen_US
dc.subjectInflationen_US
dc.subjectLifestyleen_US
dc.subjectMean-shortfallen_US
dc.subjectMeasure of transformation techniquesen_US
dc.subjectGuaranteeen_US
dc.titleA model for managing pension funds with benchmarking in an inflationary marketen_US
dc.typeThesisen_US
dc.rights.holderUniversity of the Western Capeen_US
dc.description.countrySouth Africa


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