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

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dc.contributor.author Josa-Fombellida, Ricardo
dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.date.accessioned 2009-10-27T15:57:53Z
dc.date.available 2009-10-27T15:57:53Z
dc.date.issued 2010
dc.identifier.bibliographicCitation European Journal of Operational Research. 2010, vol. 201, nº 1, p. 211–221
dc.identifier.issn 0377-2217
dc.identifier.uri http://hdl.handle.net/10016/5581
dc.description.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.
dc.description.sponsorship Both authors gratefully aknowledge financial support from Consejería de Educación y Cultura de la Junta de Castilla y León (Spain) under projects VA004B08 and VA099/04, and Spanish Ministerio de Ciencia y Tecnología and FEDER funds under project MTM2005-06534
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.relation.isversionof http://hdl.handle.net/10016/1135
dc.rights ©Elsevier
dc.subject.other Pension funds
dc.subject.other Stochastic control
dc.subject.other Optimal portfolio
dc.subject.other Stochastic interest rate
dc.title Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.ejor.2009.02.021
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.ejor.2009.02.021
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 211
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 221
dc.identifier.publicationtitle European Journal of Operational Research
dc.identifier.publicationvolume 201
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