Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
نویسندگان
چکیده
منابع مشابه
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
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 sto...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2010
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2009.02.021