A Stochastic Network Approach for Integrating Pension and Corporate Financial Planning
This paper presents a multi-period stochastic network model for integrating corporate financial and pension planning.
John M. Mulvey
Department of Operations Research and Financial EngineeringBendheim Center for Finance , Princeton University
Koray D. Simsek
Assistant Professor of Finance, EDHEC Business SchoolResearch Associate, EDHEC Risk and Asset Management Research Centre
Pension planning in the United States has gained importance with the population aging and the growth of retirement accounts. In certain cases, the pension plan assets are several times larger than the value of the company itself (General Motors - Market cap: $19 billion, Pension plan assets: $67 billion, Estimated pension fund deficit: $25 billion - in December 31, 2002; see General Motors Corporation (2003)). Thus, pension investment decisions can have a sizeable impact on a company's long-term financial health. However, pension planning is rarely linked to general corporate planning systems since the domain falls outside traditional corporate budgeting and planning processes.
A Stochastic Network Approach for Integrating Pension and Corporate Financial Pl...
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