RT Generic
T1 Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
A1 Josa-Fombellida, Ricardo
A1 Rincón-Zapatero, Juan Pablo
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB In this paper we study the optimal management of an aggregated pension fund of definedbenefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can investin a savings account, in a risky stock and in a bond, with the aim of minimizing deviations ofthe unfunded actuarial liability from zero along a finite time horizon. We solve the problem bymeans of optimal stochastic control techniques and analyze the influence on the optimalsolution of some of the parameters involved in the model.
SN 2340-5031
YR 2008
FD 2008-12-12
LK https://hdl.handle.net/10016/1135
UL https://hdl.handle.net/10016/1135
LA eng
DS e-Archivo
RD 19 may. 2024