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Allocation stratégique d'actifs et ALM pour les régimes de retraite

Abstract : This thesis focuses on the strategic asset allocation models and on their application for the financial reserve management of a pay-as-you-go (PAYG) retirement schemes, especially those with partial provision. The study of the reserve utility for a PAYG system and of their management still leaves a lot to be explored. Classical hypothesis are usually considered too restrictive for the description of the complex reserve evolution. New models and new results have been developed over three levels : economic scenario generation (ESG), numerical optimization techniques and the choice of optimal strategic asset allocation in the case of an Asset-Liability Management (ALM). For the generation of financial and economic scenarios, some ESG performance indicators have been studied. Also, we detailed and proposed to improve ESG construction, notably the choice of the correlation matrix between modelled variables. Then, a set of tools were presented so that we could estimate ESG parameters variety. This thesis has also paid particular attention to numerical techniques of optimum research, which is an important step for the asset allocation implementation. We developed a reflexion about a global optimisation algorithm of a non convex and a noisy function. The algorithm allows for simple modulating, through two parameters, the reiteration of evaluations at an observed point or the exploration of the noisy function at a new unobserved point. Then, we presented new ALM techniques based on stochastic programming. An application to the strategic asset allocation of a retirement scheme with partial provision is developed. A specific methodology for the scenario tree generation was proposed at this level. Finally, a comparative study between proposed ALM model and Fixed-Mix strategy based model was achieved. We also made a variety of a sensitivity tests to detect the impact of the input values changes on the output results, provided by our ALM model.
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Contributor : Alaeddine Faleh <>
Submitted on : Tuesday, September 11, 2012 - 11:48:57 AM
Last modification on : Monday, October 19, 2020 - 11:06:52 AM
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  • HAL Id : tel-00689907, version 4



Alaeddine Faleh. Allocation stratégique d'actifs et ALM pour les régimes de retraite. Gestion de portefeuilles [q-fin.PM]. Université Claude Bernard - Lyon I, 2011. Français. ⟨tel-00689907v4⟩



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