Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates |
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Authors: | Ricardo Josa-Fombellida,Juan Pablo Rincó n-Zapatero |
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Affiliation: | 1. Departamento de Estadística e Investigación Operativa, Universidad de Valladolid, Paseo Prado de la Magdalena s/n, 47005 Valladolid, Spain;2. Departamento de Economía, Universidad Carlos III de Madrid, C/Madrid 126, 28903 Getafe, Madrid, Spain |
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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. |
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Keywords: | Pension funds Stochastic control Optimal portfolio Stochastic interest rate |
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