有關退休基金的運用方式，目前仍由政府統一管理與支配，並未引進企業化經營理念與市場競爭機制，投資方式不但易受官僚體系及政治因素干擾，且很難有傑出表現。而有效的管理運用龐大的退休基金，以及適當的委託專業機構進行管理，乃國內三大退休基金管理單位刻不容緩的改進議題。本研究將針對退撫基金目前所具有的委託經營管理辦法與自行經營之法令要求架構下，探討委外經營與否對於退休基金所產生的影響；並且依據退休基金成長型態之三大階段，分別探討其委託經營方式與基金之選擇，最後再建議退休基金經營管理尚可改進之處。 本研究的內容與流程主要為：（1）分別就退休金體系、計畫、管理與運用原則、管理型態，以及我國退休基金制度與管理發展現況與未來趨勢加以分析。（2）退休基金投資政策與資產配置策略之探討。（3）退休基金委外經營之探討。（4）退休基金資產配置之實證研究與設計。（5）資產配置之結果與分析。除對委外經營前的資產配置進行分析與說明外，並對退休基金成長型態設計一套委外經營之方式與配置策略。（6）提出本研究之研究結論及意見。 本研究結論為：（1）在自行經營下的資產配置，如能增加放款一項確能使效率前緣向外擴展。（2）從自行經營的效率觀點來看，退休基金要達成法定收益率標準只要投資於債券與少許的股票市場即可輕易達成。如以退撫基金設定的精算目標報酬12％，則只要將資金一半投入於債市，另一半投入於股市即可達成。且再提升投資目標報酬要求下之投資組合不過是債券與證券間配置比例的轉換而已。（3）自行經營法令限制下，在股票投資比重上仍可再增加，而在購買債券上比重也應再增加；反而是不應購買過多的商業票券。（4）在退休基金年輕階段，以委託積極成長風格的基金為配適對象，確能達到高度投資報酬水準。在配置內容上，只要維持20％左右的委外經營比重，其餘資產投入債市即可。當進入成熟階段，委託經營佔兩成左右，其餘投入債市即可。在衰退階段，委託管理比重以三成為原則，其他仍以債券操作為自行管理內容；但在委外部分以平衡型基金為主。（5）如果限制流動性資產最低水準，則發現增加流動性要求不會增加過多風險，並可維持委託經營比重，可符合保本保息的要求。

<p>Essentially this project report is a discussion of mathematical modelling in pension funds, presenting sections from Cairns, A.J.D., Blake, D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In the investigation of the management of the investment portfolio, we only use one risky asset together with a bond and cash as other assets in a&nbsp / continuous time framework. The particular model is very much designed according to the members&rsquo / preference and then the funds are invested by the fund manager in the financial market. At the end, we are going to show various simulations of these models. Our methods include stochastic control for utility maximisation among others. The optimisation problem entails the optimal&nbsp / investment portfolio to maximise a certain power utility function. We use MATLAB and MAPLE programming languages to generate results in the form of graphs and tables</p>

This study aims to analyze the istanbul Hilton, the izmir Grand Efes and the Grand Ankara Hotels, which are owned by the Pension Fund, during the 1950-1980 period that witnessed the formation process of modern tourism and tourism architecture in Turkey. As the first five-star hotels of their cities, these buildings provide the possibility of tracing the social transformation processes at the second half of the 20th century beyond their architectural properties that reflect and affect the zeitgeist of the period. In this manner, besides the architectural formation of the buildings, this thesis also aims to examine the participation of the hotels in social life and the relations of architecture with the changing city life and tourism. Moreover, this thesis offers historical perspectives about tourism architecture, about which adequate researches have not been provided yet. Chronologically, the first chapter formulates a general introduction. The second chapter issues the 1950s&amp / #8217 / Turkey and the istanbul Hilton Hotel. The third chapter issues the 1960s&amp / #8217 / Turkey and the izmir Efes Hotel and the Grand Ankara Hotels. The fourth chapter examines the critique of tourism that developed in the 1970s&amp / #8217 / social and political medium, and the last chapter is a general conclusion

Baigiamajame darbe darbo autorė apžvelgia Lietuvos pensijų fondų raidą. Darbe išskiriami tokie pagrindiniai aspektai: istorinė pensijų fondų atsiradimo apžvalga, pensijų fondų veikla, pensijų fondų klasifikavimas ir veiklos ypatumai, pensijų fondų analizė. Panaudodama Lietuvos Respublikos pensijų kaupimo veiklą reglamentuojančius įstatymus, kitą reikalingą medžiagą ir surinkus duomenis apie pensijų fondus, darbo autorė išanalizavo pensijų fondų atsiradimo eigą, suklasifikavo pensijų fondus į grupes, pagal investicijų į akcijų rinkas dalį. Atlikus dalyvių pasiskirstymą tarp pensijų kaupimo veiklą vykdančių įmonių, darbo autorė išnagrinėjo kokioms bendrovėms Lietuvos gyventojai labiau patiki valdyti savo lėšas. Atlikus dalyvių pasiskirstymą pagal investavimo strategijas, autorė sužinojo kokius pensijų fondus žmonės linkę pasirinkti. / Referring to the laws of the Republic of Lithuania, which regulate the pension accumulation activity, the other necessary material and the collected data about pension funds, the author of the thesis has analyzed the course of founding of pension funds, has classified pension funds according to the groups, according to the investment share in the share market. After having distributed the participants among the enterprises, which execute the pension accumulation activity, the author of the thesis has investigated the item, i.e. the enterprises, which are mostly trusted by the dwellers of Lithuania from the aspect of management of their means. After having distributed the participants according to the investment strategy, the author has ascertained which pensions funds are mostly popular among people. According to the analysis, which has been done by the author of the thesis, founding of the new pension funds of the II-nd and of the III-rd level is observed. Several large-scale enterprises of the country have expanded the offer of their funds by founding the investment funds, attributed to a larger risk, which invest most their assets into the shares. The author of the thesis would like to stress that a larger number of funds means a tough competition regarding the clients. It’s useful as the increased number of funds urges the pension accumulating enterprises to improve the quality of management, to submit a more specified and various information about their activity. An... [to full text]

<p>Essentially this project report is a discussion of mathematical modelling in pension funds, presenting sections from Cairns, A.J.D., Blake, D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In the investigation of the management of the investment portfolio, we only use one risky asset together with a bond and cash as other assets in a&nbsp / continuous time framework. The particular model is very much designed according to the members&rsquo / preference and then the funds are invested by the fund manager in the financial market. At the end, we are going to show various simulations of these models. Our methods include stochastic control for utility maximisation among others. The optimisation problem entails the optimal&nbsp / investment portfolio to maximise a certain power utility function. We use MATLAB and MAPLE programming languages to generate results in the form of graphs and tables</p>

Magister Scientiae - MSc / Essentially this project report is a discussion of mathematical modelling in pension funds, presenting sections from Cairns, A.J.D., Blake, D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In the investigation of the management of the investment portfolio, we only use one risky asset together with a bond and cash as other assets in a continuous time framework. The particular model is very much designed according to the members’ preference and then the funds are invested by the fund manager in the financial market. At the end, we are going to show various simulations of these models. Our methods include stochastic control for utility maximisation among others. The optimisation problem entails the optimal investment portfolio to maximise a certain power utility function. We use MATLAB and MAPLE programming languages to generate results in the form of graphs and tables. / South Africa

O crescimento do Mercado de Previdência Complementar no Brasil é notoriamente percebido, conforme evidenciado nos relatórios de gestão apresentados pelo Ministério da Previdência Social, após o encerramento de cada exercício. Neste segmento, os Fundos de Pensão tem a importante missão de obter para seus participantes rentabilidade compatível com o mercado, evitar a deterioração do Patrimônio, garantir a continuidade do pagamento dos Benefícios já concedidos e a concessão dos benefícios futuros pactuados. O presente estudo apresenta as principais metodologias da ferramenta de ALM - Asset Liability Managment que podem ser utilizadas para gestão de Ativo/Passivo dos Fundos de Pensão. O objetivo do trabalho é sugerir a alocação de investimentos no segmento de Renda Fixa, através da análise da simulação do fluxo do passivo atuarial dos benefícios já concedidos de um Plano de Benefícios caracterizado na modalidade de Benefício Definido. Como resultado, foi apresentada sugestão de alocação dos investimentos no segmento de Renda Fixa, conforme vencimentos disponíveis no mercado em 31/12/2009, baseados na projeção dos fluxos de pagamento de Benefícios, investimentos e desinvestimentos, confirmando a importância da existência nas Entidades de Previdência Complementar, da relação entre a Gestão Atuarial e de Investimentos, para a definição estratégica dos investimentos. / Market growth for Pension Funds in Brazil is well perceived, as evidenced in the management reports submitted by the Ministry of Social Security after the end of each fiscal year. In this segment, Pension Funds play an important role for their members in obtaining return on investment in line with the market, preventing asset deterioration, ensuring continued payment of previously granted benefits and agreed future benefits. This study presents the main methodologies of the ALM tool – Asset Liability Management – that can be used to manage Assets/Liabilities of Pension Funds. The objective is to suggest the allocation of investments in the fixed income sector through analysis of the actuarial liability of previously granted benefits in a flow simulation, a Benefit Plan characterized in the Defined Benefit form. As a result, it was suggested that the allocation of investments in the fixed income segment, as due dates available in the market on Dec, 31 2009, based on the flow of benefits payment, investments and divestments, confirming the importance of the Supplementary Pension Entities, the relationship between the Actuarial and Investment Management, to define strategic investments.

O crescimento do Mercado de Previdência Complementar no Brasil é notoriamente percebido, conforme evidenciado nos relatórios de gestão apresentados pelo Ministério da Previdência Social, após o encerramento de cada exercício. Neste segmento, os Fundos de Pensão tem a importante missão de obter para seus participantes rentabilidade compatível com o mercado, evitar a deterioração do Patrimônio, garantir a continuidade do pagamento dos Benefícios já concedidos e a concessão dos benefícios futuros pactuados. O presente estudo apresenta as principais metodologias da ferramenta de ALM - Asset Liability Managment que podem ser utilizadas para gestão de Ativo/Passivo dos Fundos de Pensão. O objetivo do trabalho é sugerir a alocação de investimentos no segmento de Renda Fixa, através da análise da simulação do fluxo do passivo atuarial dos benefícios já concedidos de um Plano de Benefícios caracterizado na modalidade de Benefício Definido. Como resultado, foi apresentada sugestão de alocação dos investimentos no segmento de Renda Fixa, conforme vencimentos disponíveis no mercado em 31/12/2009, baseados na projeção dos fluxos de pagamento de Benefícios, investimentos e desinvestimentos, confirmando a importância da existência nas Entidades de Previdência Complementar, da relação entre a Gestão Atuarial e de Investimentos, para a definição estratégica dos investimentos. / Market growth for Pension Funds in Brazil is well perceived, as evidenced in the management reports submitted by the Ministry of Social Security after the end of each fiscal year. In this segment, Pension Funds play an important role for their members in obtaining return on investment in line with the market, preventing asset deterioration, ensuring continued payment of previously granted benefits and agreed future benefits. This study presents the main methodologies of the ALM tool – Asset Liability Management – that can be used to manage Assets/Liabilities of Pension Funds. The objective is to suggest the allocation of investments in the fixed income sector through analysis of the actuarial liability of previously granted benefits in a flow simulation, a Benefit Plan characterized in the Defined Benefit form. As a result, it was suggested that the allocation of investments in the fixed income segment, as due dates available in the market on Dec, 31 2009, based on the flow of benefits payment, investments and divestments, confirming the importance of the Supplementary Pension Entities, the relationship between the Actuarial and Investment Management, to define strategic investments.

Este trabalho apresenta uma abordagem via programação estocástica linear para a tomada de decisão de investimento em um fundo de pensão com plano de benefícios do tipo benefício definido. Propõe-se uma nova metodologia para a definição da alocação da carteira do fundo no instante inicial baseada na média de vários cenários econômicos gerados aleatoriamente. Como exemplo de aplicação, essa metodologia é utilizada para resolver o problema da alocação inicial da carteira de um grande fundo de pensão brasileiro e a alocação inicial obtida é avaliada em termos da probabilidade de insolvência e VaR, valor em risco, do fundo no instante final do horizonte de planejamento de investimento. / This paper presents an approach via linear stochastic programming for investment decision making in a defined benefit pension fund plan. It proposes a new methodology for defining the allocation of the portfolio at the initial time based on the average of several randomly generated economic scenarios. As an illustrative example, this methodology is used to solve the problem of portfolio initial allocation of a large Brazilian pension fund and the obtained initial allocation is evaluated in terms of funds probability of default and VaR, Value-at-Risk, at the final time of the investment planning horizon.

O crescimento do Mercado de Previdência Complementar no Brasil é notoriamente percebido, conforme evidenciado nos relatórios de gestão apresentados pelo Ministério da Previdência Social, após o encerramento de cada exercício. Neste segmento, os Fundos de Pensão tem a importante missão de obter para seus participantes rentabilidade compatível com o mercado, evitar a deterioração do Patrimônio, garantir a continuidade do pagamento dos Benefícios já concedidos e a concessão dos benefícios futuros pactuados. O presente estudo apresenta as principais metodologias da ferramenta de ALM - Asset Liability Managment que podem ser utilizadas para gestão de Ativo/Passivo dos Fundos de Pensão. O objetivo do trabalho é sugerir a alocação de investimentos no segmento de Renda Fixa, através da análise da simulação do fluxo do passivo atuarial dos benefícios já concedidos de um Plano de Benefícios caracterizado na modalidade de Benefício Definido. Como resultado, foi apresentada sugestão de alocação dos investimentos no segmento de Renda Fixa, conforme vencimentos disponíveis no mercado em 31/12/2009, baseados na projeção dos fluxos de pagamento de Benefícios, investimentos e desinvestimentos, confirmando a importância da existência nas Entidades de Previdência Complementar, da relação entre a Gestão Atuarial e de Investimentos, para a definição estratégica dos investimentos. / Market growth for Pension Funds in Brazil is well perceived, as evidenced in the management reports submitted by the Ministry of Social Security after the end of each fiscal year. In this segment, Pension Funds play an important role for their members in obtaining return on investment in line with the market, preventing asset deterioration, ensuring continued payment of previously granted benefits and agreed future benefits. This study presents the main methodologies of the ALM tool – Asset Liability Management – that can be used to manage Assets/Liabilities of Pension Funds. The objective is to suggest the allocation of investments in the fixed income sector through analysis of the actuarial liability of previously granted benefits in a flow simulation, a Benefit Plan characterized in the Defined Benefit form. As a result, it was suggested that the allocation of investments in the fixed income segment, as due dates available in the market on Dec, 31 2009, based on the flow of benefits payment, investments and divestments, confirming the importance of the Supplementary Pension Entities, the relationship between the Actuarial and Investment Management, to define strategic investments.