Retirement saving with contribution payments and labor as a benchmark for investments

Article Abstract:

The retirement saving problem from the point of view of a plan sponsor, who makes contribution payments for the future retirement of an employee is studied. It is shown that the demand for risky assets increases at low wealth levels due to the contribution payments, and the downside-risk measures increase risk-taking at both low and high levels of wealth.

Wage Administration, Retirement Benefits, Compensation management, Investment management

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Hedging options under transaction costs and stochastic volatility

Article Abstract:

The problems of hedging contingent claims under transaction costs and stochastic volatility are explored. Since small changes of the volatility can have a major impact on the value of contingent claims, hedging strategies are suggested to try to eliminate the volatility risk, for which a stochastic optimization model is proposed.

Stochastic analysis

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Scenario modeling for selective hedging strategies

Article Abstract:

The currency risk management in the context of scenario analysis is studied. The selective hedging strategies dominate the alternatives under some conditions in determining the profitability of various currency risk management strategies.

Asset & Risk Management, Risk management

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