Mean-variance investment strategy with proportional transaction costs and withdrawal process for a defined contribution pension scheme Online publication date: Thu, 24-Jan-2019
by Charles I. Nkeki
International Journal of Operational Research (IJOR), Vol. 34, No. 2, 2019
Abstract: In this paper, we consider an extension of the Markowitz portfolio and investment problem in which transaction costs are incurred; contributions and withdrawals are made by the pension plan members (PPMs) in the investment portfolio. The transaction costs are modelled as a proportion of the value of risky assets transacted. The aims of this paper are to: a) minimise the investment risks; b) minimise the contribution risks and simultaneously maximise amount of contributions; c) strategically minimise the amount of withdrawal by the PPMs. The optimal portfolio, contributions and withdrawal processes, with proportional transaction costs were obtained. Some numerical results are also presented in this paper.
Online publication date: Thu, 24-Jan-2019
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Operational Research (IJOR):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email email@example.com