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Sadeghi Shahedani, M. (2020). Modeling the At risk Values Optimal Pattern in Pension Funds. Electronic and Cyber Defense, 1(2), 11-31.
Mahdi Sadeghi Shahedani. "Modeling the At risk Values Optimal Pattern in Pension Funds". Electronic and Cyber Defense, 1, 2, 2020, 11-31.
Sadeghi Shahedani, M. (2020). 'Modeling the At risk Values Optimal Pattern in Pension Funds', Electronic and Cyber Defense, 1(2), pp. 11-31.
Sadeghi Shahedani, M. Modeling the At risk Values Optimal Pattern in Pension Funds. Electronic and Cyber Defense, 2020; 1(2): 11-31.

Modeling the At risk Values Optimal Pattern in Pension Funds

پژوهش‌های راهبردی بودجه و مالیه
Article 1, Volume 1, Issue 2, August 2020, Pages 11-31    PDF (1.02 M)
Document Type: Original Article
Author
Mahdi Sadeghi Shahedani*
Full professor in theoretical economics at The Faculty of Islamic Knowledge and economics, Imam Sadegh University
Receive Date: 10 February 2020,  Revise Date: 16 May 2020,  Accept Date: 16 May 2020 
Abstract
< p >Pension funds play an essential role in financial and capital markets. Hence, it is very important to consider issues such as investment strategies in line with the volume and sources of assets and risk management. This research is involved in the modification of the at risk value model of the banking sector consistent with the features of the pension funds. Essential adjustments and practical steps of this adaptation are proposed in line with this goal. Finally, the proposed optimal investment model was developed regarding at risk component. The results ended in a risk measurement model for assets of portfolio in the Pension Fund''s. As the funds'' claims on the government are often paid back in the form of shares, they make up the bulk of the assets of the pension funds in the form of stocks of listed and non-listed companies. As a result, application of the present model can be of great help in managing the risk of pension fund portfolios and development of patterns for applying at risk values.
Keywords
pension funds; at risk values; optimal portfolio
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