Josa-Fombellida, RicardoRincón-Zapatero, Juan PabloUniversidad Carlos III de Madrid. Departamento de Economía2008-06-122009-06-232009-07-202008-06-122009-06-232009-07-202008-12-122340-5031https://hdl.handle.net/10016/1135In 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.application/pdfapplication/octet-streamapplication/octet-streamapplication/octet-streamtext/plainengAtribución-NoComercial-SinDerivadas 3.0 EspañaPension fundsStochastic controlOptimal portfolioStochastic interest rateworking paperG23G11C61Economíaopen accesswe078148