Mean–variance portfolio and contribution selection in stochastic pension funding

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dc.contributor.author Josa-Fombellida, Ricardo
dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.date.accessioned 2012-10-09T15:03:40Z
dc.date.available 2012-10-09T15:03:40Z
dc.date.issued 2008-05
dc.identifier.bibliographicCitation European journal of operational research, vol. 187, n. 1, may 2008, p. 120-137
dc.identifier.issn 0377-2217
dc.identifier.uri http://hdl.handle.net/10016/15630
dc.description.abstract In this paper we study the problem of simultaneous minimization of risks, and maximization of the terminal value of expected funds assets in a stochastic defined benefit aggregated pension plan. The risks considered are the solvency risk, measured as the variance of the terminal fund’s level, and the contribution risk, in the form of a running cost associated to deviations from the evolution of the stochastic normal cost. The problem is formulated as a bi-objective stochastic problem of mean variance and it is solved with dynamic programming techniques. We find the efficient frontier and we show that the optimal portfolio depends linearly on the supplementary cost of the fund, plus an additional term due to the random evolution of benefits.
dc.description.sponsorship Both authors gratefully acknowledge financial support from Regional Government of Castilla y León (Spain) under project VA099/04 and Spanish Ministry of Education and Science and FEDER funds under project MTM2005-06534. We are indebted to three anonymous referees for the criticisms and valuable comments.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Finance
dc.subject.other Pension funding
dc.subject.other Portfolio theory
dc.subject.other Stochastic control
dc.subject.other Mean-variance
dc.title Mean–variance portfolio and contribution selection in stochastic pension funding
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.ejor.2007.03.002
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.ejor.2007.03.002
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 120
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 137
dc.identifier.publicationtitle European journal of operational research
dc.identifier.publicationvolume 187
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