2012 Fiscal Year Final Research Report
Development of optimization techniques for the Japanese Public pension fund
| Project/Area Number |
23710164
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
KITAHARA Tomonari 東京工業大学, 大学院・社会理工学研究科, 助教 (10551260)
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| Project Period (FY) |
2011 – 2012
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| Keywords | OR / 公的年金運用 |
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| Research Abstract |
Since population aging has been rapidly advancing in Japan, stability of the public pension system is important. In this research, I aimed at developing optimization techniques needed in the management of the public pension fund in Japan. As a result of this research, I show quantitative properties of the Mean-Variance Model, which is currently used in the management of the Japanese public pension fund. I also analyzed some algorithms for solving mathematical programming problems which appear in the management of the pension fund, and I proved several theoretical properties of the algorithms.
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