Cyclical risk exposure of pension funds: a theoretical framework

Francesco Menoncin (menoncin@eco.unibs.it)

Working Papers from University of Brescia, Department of Economics

Abstract: We study the asset allocation problem for a pension fund which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive, then during the management period the optimal portfolio is constantly riskier (less risky) than Merton’s portfolio when the growth rate of workers is higher (lower) than the growth rate of pensioners. In particular, there exists a time when the risk exposure is a maximum (minimum).

Date: 2005
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Citations: View citations in EconPapers (4)

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