Long-term Investment Management with Minimax Regret: A Template for Pension Funds?

36 Pages Posted: 3 Nov 2018 Last revised: 15 Feb 2019

See all articles by David Edelman

David Edelman

University College Dublin

Ekaterina Goryagina

University College Dublin (UCD) - Department of Banking & Finance

Date Written: January 2019

Abstract

A method of pension portfolio management with Minimax Regret with respect to the best hindsight constant-mix portfolio is presented. This is achieved via a BHCM derivative contract, where several approaches for pricing such a derivative are exhibited. A set of Empirical comparisons with more traditional approaches using data from Germany is presented. For the data examined, the resulting comparison demonstrates a clear superiority of the Minimax-based approach over the traditional from the point of view of both long-term cumulative performance and risk profile as measured chiefly by Drawdown.

Suggested Citation

Edelman, David and Goryagina, Ekaterina, Long-term Investment Management with Minimax Regret: A Template for Pension Funds? (January 2019). Available at SSRN: https://ssrn.com/abstract=3264720 or http://dx.doi.org/10.2139/ssrn.3264720

David Edelman

University College Dublin ( email )

Belfield
Belfield, Dublin 4 4
Ireland

Ekaterina Goryagina (Contact Author)

University College Dublin (UCD) - Department of Banking & Finance ( email )

Blackrock, Co. Dublin
Ireland

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