Goal programming for pension fund portfolio modeling

Thumbnail Image
Vanguri, Udaya Prakash
Journal Title
Journal ISSN
Volume Title
In this thesis a goal programming approach for the University of Manitoba Pension Plans is presented. The thesis has two purposes: to appreciate a goal programming technique applicable to pension fund portfolio modelling, and, to develop a working model for the University of Manitoba Pension Plans in order to develop an in-year investment strategy. Apart from developing a diversified investment portfolio, this thesis also deals with a demand goal, such that demand (benefits) must be met by the cash and short-term notes held by the pension fund. The goal programming formulation was based on available data supplied by the Univ rsity of Manitoba's Staff Benefits Office. The initial model was created with this data, and a forecasting model was subsequently developed. In dealing with the initial model, two different versions were developed. While dealing with both the initial and forecasted formulations, the future rate of returns for various investments classes were obtained using the "Wilkie Model". The goal programming models are then solved for their optimal solutions by determining the percentage of investment in each asset class. (Abstract shortened by UMI.)