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Optimal Asset Allocation for Aggregated Defined Benefit Pension Funds with Stochastic Interest Rates by Ricardo Josa-Fombellida; Juan Pablo Rincón-Zapatero is a Engineering article available to read on EtoBox.
What is Optimal Asset Allocation for Aggregated Defined Benefit Pension Funds with Stochastic Interest Rates about?
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.
Who reads Optimal Asset Allocation for Aggregated Defined Benefit Pension Funds with Stochastic Interest Rates?
It is typically read by researchers, students, and practitioners in Engineering.
- Author
- Ricardo Josa-Fombellida; Juan Pablo Rincón-Zapatero
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0377-2217)
- Published
- 2010
- Language
- EN
- Field
- Engineering (Physical Sciences)