 A Robust Optimization Approach to Pension Fund ManagementGarud Iyengar, Alfred Ka and Chun Ma Chapter 12 in Asset and Liability Management Handbook, 2011, pp 308-330 from Palgrave Macmillan Abstract: Abstract Pension plans in the United States come in two varieties. Defined contribution pension plans specify the contribution of the corporation. The employees have the right to invest the corporation’s contribution and their own contribution in a limited set of funds. The participants in a defined contribution pension plan are responsible for making all the investment decisions and bear all the risks associated with these decisions; thus, the benefit to the participants is uncertain. In contrast, defined benefit pension plans specify the benefits due to plan participants. The plan sponsor, that is the corporation, makes all the invest-ment decisions in a defined benefit pension plan and bears all the investment risk. Defined benefit plans have been in the news in the past few years because some firms face the prospect of bankruptcy over severely underfunded pension plans. Consequently, there is a need to develop models that account for uncertainty in future market conditions and plan accordingly. Keywords: Pension Fund; Credit Rating; Pension Plan; Chance Constraint; Equity Index (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-30723-0_12 Ordering information: This item can be ordered from Access Statistics for this chapter More chapters in Palgrave Macmillan Books from Palgrave Macmillan |
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