| In this thesis a goal programming approach for the University of Manitoba Pension Plans is presented. The thesis has two purposes: to appreciate a goal programming technique applicable to pension fund portfolio modelling, and, to develop a working model for the University of Manitoba Pension Plans in order to develop an in-year investment strategy.;Apart from developing a diversified investment portfolio, this thesis also deals with a demand goal, such that demand (benefits) must be met by the cash and short-term notes held by the pension fund.;The goal programming formulation was based on available data supplied by the University of Manitoba's Staff Benefits Office. The initial model was created with this data, and a forecasting model was subsequently developed. In dealing with the initial model, two different versions were developed.;While dealing with both the initial and forecasted formulations, the future rate of returns for various investments classes were obtained using the "Wilkie Model".;The goal programming models are then solved for their optimal solutions by determining the percentage of investment in each asset class. (Abstract shortened by UMI.). |
