Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Paolo Battocchio, Francesco Menoncin () and Olivier Scaillet

Annals of Operations Research, 2007, vol. 152, issue 1, 165 pages

Abstract: In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. Copyright Springer Science+Business Media, LLC 2007

Keywords: Pension fund; Mortality risk; Asset allocation (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-006-0144-2 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases (2003)
Working Paper: Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases (2003)
Working Paper: Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:152:y:2007:i:1:p:141-165:10.1007/s10479-006-0144-2

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-006-0144-2

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().