Modelling of net flows to investment funds

Abstract

The paper presents the general model of net flows to investment funds, which helps to analyse the flows andto solve the problem structurally. The model includes various investment guidelines and different fund types, aspects ofrisk influence are discussed separately. Furthermore, the conception and techniques of integrated assets and liabilitiesportfolio management are applied forming and managing the portfolio of investment fund. Integrated assets and liabilities management is based on computerised decision models that represent both the assets and liabilities associated withthe business line, characterise the uncertainty of the future environment and produce strategies for structuring the assetsand liabilities in business ways that are profitable across a range of alternative future environments. The methods ofimitative modelling are used and obtained results are presented in geometrical form of portfolio sets, their efficiencyzones, density and survival functions.