On loss-avoiding lump-sum pension optimization with contingent targets

Jeffrey Azzato, Jacek B Krawczyk and Christopher Sissons

No 18552, Working Paper Series from Victoria University of Wellington, School of Economics and Finance

Abstract: Consider a lump-sum pension fund problem, in which an agent deposits an amount with a fund manager up front and is later repaid a lump sum x(T) after time T. The fund manager may be both cautious in seeking a payoff x(T) meeting a certain target, but relaxed toward the possibility of exceeding this target. We use a computational method in stochastic optimal control (“SOCSol”) to find approximately-optimal decision rules for such “cautious-relaxed” fund managers. In particular, we examine fund optimisation problems in which the target is contingent upon market conditions such as inflation.

Keywords: lump-sum; pension; optimal; inflation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:18552

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