{"id":"https://openalex.org/W2289179778","doi":"https://doi.org/10.5687/sss.2015.112","title":"A Liability Tracking Portfolio for Pension Fund Management","display_name":"A Liability Tracking Portfolio for Pension Fund Management","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W2289179778","doi":"https://doi.org/10.5687/sss.2015.112","mag":"2289179778"},"language":"en","primary_location":{"id":"doi:10.5687/sss.2015.112","doi":"https://doi.org/10.5687/sss.2015.112","is_oa":true,"landing_page_url":"https://doi.org/10.5687/sss.2015.112","pdf_url":"https://www.jstage.jst.go.jp/article/sss/2015/0/2015_112/_pdf","source":{"id":"https://openalex.org/S4210239219","display_name":"Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications","issn_l":"2188-4730","issn":["2188-4730","2188-4749"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4327986826","host_organization_name":"Institute of Systems, Control and Information Engineers","host_organization_lineage":["https://openalex.org/P4327986826"],"host_organization_lineage_names":["Institute of Systems, Control and Information Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications","raw_type":"journal-article"},"volume":null,"type":"conference-paper","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://www.jstage.jst.go.jp/article/sss/2015/0/2015_112/_pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005018442","display_name":"Masashi Ieda","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I114531698","display_name":"Tokyo Institute of Technology","ror":"https://ror.org/0112mx960","country_code":"JP","type":"education","lineage":["https://openalex.org/I114531698","https://openalex.org/I4400009020"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Masashi Ieda","raw_affiliation_strings":["Graduate School of Innovation Management, Tokyo Institute of Technology"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Innovation Management, Tokyo Institute of Technology","institution_ids":["https://openalex.org/I114531698"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Takashi Yamashita","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405256931","display_name":"Government Pension Investment Fund","ror":"https://ror.org/04pg51e30","country_code":"JP","type":"government","lineage":["https://openalex.org/I4405256931"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Takashi Yamashita","raw_affiliation_strings":["The Government Pension Investment Fund, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The Government Pension Investment Fund, Japan","institution_ids":["https://openalex.org/I4405256931"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5014930811","display_name":"Yumiharu Nakano","orcid":"https://orcid.org/0000-0002-5723-4444","observed_orcids":["https://orcid.org/0000-0002-5723-4444"]},"institutions":[{"id":"https://openalex.org/I114531698","display_name":"Tokyo Institute of Technology","ror":"https://ror.org/0112mx960","country_code":"JP","type":"education","lineage":["https://openalex.org/I114531698","https://openalex.org/I4400009020"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Yumiharu Nakano","raw_affiliation_strings":["Graduate School of Innovation Management, Tokyo Institute of Technology"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Innovation Management, Tokyo Institute of Technology","institution_ids":["https://openalex.org/I114531698"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.5983,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.5925145,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":93},"biblio":{"volume":"2015","issue":"0","first_page":"112","last_page":"117"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5810999870300293,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5810999870300293,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.41260001063346863,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10517","display_name":"Financial Literacy, Pension, Retirement Analysis","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/pension-fund-management","display_name":"pension fund management","score":0.8489999771118164},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.7990000247955322},{"id":"https://openalex.org/keywords/stochastic-optimal-control","display_name":"stochastic optimal control","score":0.9309999942779541},{"id":"https://openalex.org/keywords/hamilton-jacobi-bellman-equation","display_name":"Hamilton-Jacobi-Bellman equation","score":0.9739999771118164},{"id":"https://openalex.org/keywords/second-order-approximation","display_name":"second-order approximation","score":0.9169999957084656},{"id":"https://openalex.org/keywords/no-short-selling-constraint","display_name":"no short-selling constraint","score":0.9539999961853027},{"id":"https://openalex.org/keywords/asset-liability-mismatch","display_name":"asset-liability mismatch","score":0.6570000052452087}],"concepts":[{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.6493525505065918},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.6440333724021912},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.6319756507873535},{"id":"https://openalex.org/C2992209059","wikidata":"https://www.wikidata.org/wiki/Q182103","display_name":"Pension fund","level":3,"score":0.6016129851341248},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5299891829490662},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.5036167502403259},{"id":"https://openalex.org/C2775936607","wikidata":"https://www.wikidata.org/wiki/Q466845","display_name":"Tracking (education)","level":2,"score":0.4998965263366699},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.47928065061569214},{"id":"https://openalex.org/C17738144","wikidata":"https://www.wikidata.org/wiki/Q7685888","display_name":"Target date fund","level":5,"score":0.4700397849082947},{"id":"https://openalex.org/C189188589","wikidata":"https://www.wikidata.org/wiki/Q14864997","display_name":"Investment management","level":3,"score":0.4578404128551483},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4395260214805603},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.23412832617759705},{"id":"https://openalex.org/C155301685","wikidata":"https://www.wikidata.org/wiki/Q493177","display_name":"Open-end fund","level":4,"score":0.1940123438835144},{"id":"https://openalex.org/C206757995","wikidata":"https://www.wikidata.org/wiki/Q1665188","display_name":"Institutional investor","level":3,"score":0.15077117085456848},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.11607828736305237},{"id":"https://openalex.org/C39389867","wikidata":"https://www.wikidata.org/wiki/Q380767","display_name":"Corporate governance","level":2,"score":0.07285010814666748},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.06082785129547119},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.055414438247680664},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.05198720097541809},{"id":"https://openalex.org/C19417346","wikidata":"https://www.wikidata.org/wiki/Q7922","display_name":"Pedagogy","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.5687/sss.2015.112","doi":"https://doi.org/10.5687/sss.2015.112","is_oa":true,"landing_page_url":"https://doi.org/10.5687/sss.2015.112","pdf_url":"https://www.jstage.jst.go.jp/article/sss/2015/0/2015_112/_pdf","source":{"id":"https://openalex.org/S4210239219","display_name":"Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications","issn_l":"2188-4730","issn":["2188-4730","2188-4749"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4327986826","host_organization_name":"Institute of Systems, Control and Information Engineers","host_organization_lineage":["https://openalex.org/P4327986826"],"host_organization_lineage_names":["Institute of Systems, Control and Information Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications","raw_type":"journal-article"},{"id":"pmh:oai:irdb.nii.ac.jp:00897:0004087425","doi":null,"is_oa":false,"landing_page_url":"http://t2r2.star.titech.ac.jp/cgi-bin/publicationinfo.cgi?q_publication_content_number=CTT100688080","pdf_url":null,"source":{"id":"https://openalex.org/S7407056385","display_name":"Institutional Repositories DataBase (IRDB)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I184597095","host_organization_name":"National Institute of Informatics","host_organization_lineage":["https://openalex.org/I184597095"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Proceedings of the 46th ISCIE International Symposium on Stochastic Systems Theory and Its Applications","raw_type":"journal article"}],"best_oa_location":{"id":"doi:10.5687/sss.2015.112","doi":"https://doi.org/10.5687/sss.2015.112","is_oa":true,"landing_page_url":"https://doi.org/10.5687/sss.2015.112","pdf_url":"https://www.jstage.jst.go.jp/article/sss/2015/0/2015_112/_pdf","source":{"id":"https://openalex.org/S4210239219","display_name":"Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications","issn_l":"2188-4730","issn":["2188-4730","2188-4749"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4327986826","host_organization_name":"Institute of Systems, Control and Information Engineers","host_organization_lineage":["https://openalex.org/P4327986826"],"host_organization_lineage_names":["Institute of Systems, Control and Information Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2289179778.pdf","grobid_xml":"https://content.openalex.org/works/W2289179778.grobid-xml"},"referenced_works_count":3,"referenced_works":["https://openalex.org/W1964377184","https://openalex.org/W2235494081","https://openalex.org/W4292366002"],"related_works":["https://openalex.org/W2235494081","https://openalex.org/W3203990768","https://openalex.org/W2359532986","https://openalex.org/W1562660488","https://openalex.org/W2080393085","https://openalex.org/W1983603064","https://openalex.org/W3136135800","https://openalex.org/W2116373477","https://openalex.org/W2377446803","https://openalex.org/W2555102098"],"abstract_inverted_index":{"We":[0,41],"study":[1],"the":[2,20,26,30,36,45,50,57,61,69,79,84,87,92,99,114,120,123,127,130,133],"long":[3],"term":[4],"portfolio":[5,14,46,52,93,106],"which":[6],"is":[7,17,29],"able":[8],"to":[9],"track":[10],"a":[11],"liability.":[12],"The":[13,65,95,117],"optimization":[15],"problem":[16,24],"defined":[18],"as":[19],"stochastic":[21],"optimal":[22,51,105],"control":[23],"and":[25,38,48,129],"performance":[27],"criterion":[28],"lower":[31],"mean":[32],"square":[33],"error":[34],"between":[35,122],"liability":[37,100,128],"our":[39,104],"wealth.":[40],"impose":[42],"constraints":[43],"for":[44,91],"weights":[47],"obtain":[49],"strategy":[53,107],"numerically":[54],"by":[55,73],"solving":[56],"Hamilton-Jacobi-Bellman":[58],"equation":[59],"applying":[60],"quadratic":[62],"approximation":[63],"scheme.":[64],"numerical":[66],"simulations":[67],"using":[68],"empirical":[70],"data":[71],"provided":[72],"Japanese":[74],"organizations":[75],"are":[76],"run":[77],"under":[78],"two":[80],"types":[81],"of":[82,103,126,132],"constraints:":[83],"no-short-selling":[85],"constraint;":[86],"upper":[88],"bound":[89],"constraint":[90],"weights.":[94],"former":[96],"demonstrates":[97],"that":[98],"tracking":[101],"ability":[102],"does":[108],"not":[109],"drop":[110],"if":[111],"we":[112],"restrict":[113],"short":[115],"selling.":[116],"latter":[118],"implies":[119],"imbalance":[121],"growth":[124],"rate":[125],"profitability":[131],"assets.":[134]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
