Optimal pension fund management under multi-period risk minimization

Soňa Kilianová () and Georg Pflug ()

Annals of Operations Research, 2009, vol. 166, issue 1, 270 pages

Abstract: In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, members of the pension plan are given a possibility to switch periodically between J types of funds with different risk profiles and so actively manage their risk exposure and expected return. Minimization of a multi-period average value-at-risk deviation measure under expected return constraint leads to a large-scale linear program. A theoretical framework and a solution for the case of the pension system of Slovak Republic are presented. Copyright Springer Science+Business Media, LLC 2009

Keywords: Pension plan; Large-scale linear programming; Multi-period risk measure; Average value-at-risk (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10479-008-0405-3

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