International Journal of Science , Engineering and Management (IJSEM)

Monthly Journal for Science , Engineering and Management

Volume3,May 2018,

Topic : Asset Allocation Decision for Malaysia’s Dc Pension Scheme: Application of Two Stage Alm Model

Authors:Roslan Jaafar || Kevin James Daly

Abstract:This study aims to analyze the strategic asset allocation and matching assets/liability problem in Malaysia’s defined contribution (DC) pension scheme-Employees Provident Fund (EPF). Stochastic asset liability management (ALM) model is employed to solve the asset allocation decision where assets and liabilities are considered simultaneously in the decision strategy. We then extend the analysis by incorporating integrated chance constraints (ICC) to minimize the event of underfunding along the planning horizon. The results show that, in respect to asset holding constraints, the EPF tends to hold government security in their asset allocation strategy. Moreover, the ICC risk constraint limits the ability of fund to maximize the expected terminal wealth and tends to reduce the gains of our ALM model..

Keywords: The EPF; defined contribution; asset-liability management; stochastic modelling.

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DOI: 01.1617/vol5/iss5/pid32607


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Editor-in-Chief

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Dr.Muhammad Ishtiaq,
Mirpur University of
Science & Technology,
Mirpur, Azad Kasmir.

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IMPACT FACTOR: 2.7

ISSN(Online): 2456-1304

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Thomson Reuters ID : q-6288-2016.
ORCiD Research ID : 0000-0001-9540-6799

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ACCEPTANCE RATIO: 25%
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Journal Code : IJSEM
Electronic ISSN : 2456-1304
Impact Factor : 2.7
Frequency : Monthly
Contact : editor@ijsem.org

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