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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2002.tde-22122021-144606
Document
Author
Full name
Hilton Celio Tokunaga
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2002
Supervisor
Committee
Schirmer, Pedro Paulo Serpa (President)
Apelfeld, Roberto
Yoshino, Joe Akira
Title in Portuguese
Análise do casamento ativo-passivo de um fundo de pensão
Keywords in Portuguese
Alocação de recursos
Fundo de pensão
Investimentos
Abstract in Portuguese
Este trabalho apresenta uma abordagem analítica para auxiliar a tomada da decisão de investimento de um fundo de pensão, a chamada análise do casamento ativo-passivo (ALM -- Asset Liability Matching) com destaque à aplicação de um modelo de projeção de preços de ativos no longo prazo, com efeitos de reversão à média. Adicionalmente, apresentamos uma aplicação prática do procedimento descrito através de um estudo de caso hipotético.
Title in English
Analysis of the active-liability marriage of a pension fund
Keywords in English
Investments
Pension Fund
Resource Allocation
Abstract in English
This work presents an analytical approach to aid the investment decision making of a pension plan, known as Asset Liability Matching (ALM) analysis, with emphasis in a model to forecast asset prices in the long run, with mean reverting effects. Additionally, the application of the process is detailed in a hypothetical study case.
 
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Publishing Date
2021-12-22
 
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