We address the problem of a private pension plan sponsor who has to decide the best pension funds that should be offered to the pension plan members. Starting from the analysis of the population of the plan in order to identify a set of representative subscribers, we focus on an individual optimal portfolio allocation in a pension perspective. Then, the optimal allocation for each representativ...

As of May 2022, the National Pension Service Korea is world's third-largest pension fund, with assets worth KRW912tn (approximately $US800bn). Of KRW152tn $US133bn) invested in domestic equities, 45% outsourced to external asset managers. Given absence prior research on Service's (NPS's) management method, this study analyzes its trading strategies and market impact according fund method from 2...

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 ...

This paper studies the time-consistent investment strategy for a defined contribution (DC) pension plan under the mean–variance criterion. Since the time horizon of a pension fund management problem is relatively long, two background risks are taken into account: the inflation risk and the salary risk. Meanwhile, there are a risk-free asset, a stock and an inflation-indexed bond available in th...

We model the asset allocation decision of a defined benefit pension fund in the UK using a stochastic dynamic programming approach. Our model recognizes the fact that asset allocation decisions are made by trustees who are mandated to act in the best interests of beneficiaries not by sponsoring employers and that trustees face payoffs that are linked in an indirect way to the value of the under...

The paper investigates the role of fixed income in pension schemes investment Ghana by specifically looking at asset allocation and initial required to make scheme solvent future a specified high probability after matching all liabilities Ghana.Looking assets-only analysis without their liabilities, equity appears be an attractive classes invest in. However, considering asset-liability analysis...

We consider a problem where an investment manager must allocate an available budget among a set of fund managers, whose asset class allocations are not precisely known to the investment manager. In this paper, we propose a robust framework that takes into account the uncertainty stemming from the fund managers’ allocation, as well as the more traditional uncertainty due to uncertain asset class...