Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Ricardo Josa-Fombellida
Authors registered in the RePEc Author Service: Juan Pablo Rincón-Zapatero

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond, with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal stochastic control techniques and analyze the influence on the optimal solution of some of the parameters involved in the model.

Keywords: Pension; funds; Stochastic; control; Optimal; portfolio; Stochastic; interest; rate (search for similar items in EconPapers)
JEL-codes: C61 G11 G23 (search for similar items in EconPapers)
Date: 2008-12-12
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Journal Article: Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we078148

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