Regrouping a pension capital investment portfolio considering transaction costs
Due to the instability of the financial market, there is a need to develop alternative methods and models investing pension savings, which would increase the efficiency of the funded component of the pension system in Russia. The authors have previously proposed the model of pension capital investme...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Tomsk Polytechnic University
2019-05-01
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| Series: | Известия Томского политехнического университета: Инжиниринг георесурсов |
| Subjects: | |
| Online Access: | http://izvestiya.tpu.ru/archive/article/view/1495 |
| Summary: | Due to the instability of the financial market, there is a need to develop alternative methods and models investing pension savings, which would increase the efficiency of the funded component of the pension system in Russia. The authors have previously proposed the model of pension capital investment portfolio, taking into account the basic legal requirements and protecting the sub-portfolios of bonds interest rate risk including the immunization strategy into the model. The paper introduces the model that allows rebuilding the investment portfolio generated with minimal transaction costs charged by the Exchange for the purchase and sale of securities. The main aim of study is to propose the mathematical model of reforming the investment portfolio already formed, which minimizes transaction costs, based on the previously proposed models for forming the investment portfolio of pension savings; to prove that the presence of transaction costs leads to reduction of investment income according to the results obtained when using the proposed model. The method used in the study: the economic and mathematical modeling, methods of optimization, simulation. The results. The authors obtained the reorganization model of the previously formed investment portfolio. The numerical testing for the case of accounting transaction costs and without them revealed that frequent revision of the portfolio implies reduction of investment income owing to the presence of transaction costs. |
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| ISSN: | 2500-1019 2413-1830 |