A switch criterion for defined contribution pension schemes

Bas Arts () and Elena Vigna ()
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Bas Arts: Assicurazioni internazionali di Previdenza, Turin
Elena Vigna: Dipartimento di Statistica e Matematica Applicata, University of Turin

No 30, CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy)

Abstract: In this paper we try to find an investment strategy which gives a high probability of reaching a given target amount at retirement. This strategy depends on two moments: the first is the appropriate time to stop investing the contributions into equities and the second is the optimal moment to convert the fund of these contributions into bonds (noting that the latter may never occur). We define the strategy and compare it with other investment strategies for Defined Contribution Pension Schemes. Finally we do not only analyse the accumulation phase but also take into consideration what happens during the distribution phase.

Pages: 31 pages
Date: 2003-01
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Persistent link: https://EconPapers.repec.org/RePEc:crp:wpaper:30

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