In this paper we propose and study a continuous time stochastic model of optimal allocation for a defined contribution pension fund with a minimum guarantee. Usually, portfolio selection models for pension funds maximize the expected utility from final wealth over a finite horizon (the retirement time), whereas our target is to maximize the expected utility from current wealth over an infinite ...

We explore the implications of a preference ordering for an investor-consumer with strong keeping consumption above exogenous social norm, but who is willing to tolerate occasional dips below it. do this by splicing two CRRA orderings, one high curvature norm and other low at or find formulation appealing many endowment funds sovereign wealth funds, including Norwegian Government Pension Fund G...

n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the credit rating agencies to the obligations of central govern-ments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the...

Sovereign wealth funds (SWFs) started making the headlines in the midst of the global financial crisis. They were welcomed neither by academics nor by politicians of Western countries. In a flurry of 2008 papers SWF were peremptorily told what they should and shouldn’t do. The reasoning underlying the prescriptive norms was flawed in two respects. First it simply equated SWFs to other instituti...