Abstract:This paper investigates the application of multi-period mean-variance methods for optimal asset allocation in pension fund institutions by considering mortality factors and changes in contributions. The selection of assets used to find portfolios is using Treasury Bills as a risk-free asset and using stock included in the LQ45 index as risk assets that have the best performance during the period 2014 -2018. The multi-period mean-variance method's main purpose is to obtain the minimum variance with optimal retu… Show more
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