We propose a two-step hybrid investment strategy suitable for pension funds. Our method consists of an active component (an optimization-based approach to decide the asset allocation), followed by a passive strategy (an index-based approach). We test our strategy with data from the Chilean pension system using two different risk metrics and we show that our approach, in three out of five cases, yields results that are better than those generated by the Chilean fund administrators. In the two cases where our approach underperformed we show that it was the result of excessively tight constraints set up by the regulator.
Cifuentes, Arturo, Gabriela Denis, and Bernardo Pagnoncelli. "A Two-Step Hybrid Investment Strategy for Pension Funds." The North American Journal of Economics and Finance 42 (November 2017): 574-583.
Each author name for a Columbia Business School faculty member is linked to a faculty research page, which lists additional publications by that faculty member.
Each topic is linked to an index of publications on that topic.