Publication:
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Loading...
Thumbnail Image
Identifiers
Publication date
2010
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
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.
Description
Keywords
Pension funds, Stochastic control, Optimal portfolio, Stochastic interest rate
Bibliographic citation
European Journal of Operational Research. 2010, vol. 201, nº 1, p. 211–221