Publication: Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
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2008-12-12
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Abstract
In this paper we study the optimal management of an aggregated pension fund of defined
benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest
in a savings account, in a risky stock and in a bond, with the aim of minimizing deviations of
the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by
means of optimal stochastic control techniques and analyze the influence on the optimal
solution of some of the parameters involved in the model.
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Pension funds, Stochastic control, Optimal portfolio, Stochastic interest rate