Optimal Multistage Defined-Benefit Pension Fund Management

2017 ◽  
pp. 267-296 ◽  
Author(s):  
Giorgio Consigli ◽  
Vittorio Moriggia ◽  
Elena Benincasa ◽  
Giacomo Landoni ◽  
Filomena Petronio ◽  
...  
Keyword(s):  
Pension Fund ◽  
Defined Benefit ◽  
Fund Management ◽  
Pension Fund Management

scholarly journals On the Application of Stochastic Optimal Control to Pension Fund Management

2012 ◽  
Vol 3 ◽  
pp. 54-66
Author(s):  
Bright O. Osu ◽  
Onwukwe Ijioma
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Pension Fund ◽  
Management Problem ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Fund Management ◽  
Pension Fund Management ◽  
Before And After ◽  
Investment Returns

In this paper, we apply the stochastic optimal control theory to the pension fund management before and after retirement in the defined contribution and defined benefit pension schemes, where benefits are paid as investment returns for a period or duration of time. The goal of the management problem is to optimize the long-term growth of expected utility of returns. We consider different types of power law utility function of the form U(X)=γ-1Xγ, γ<1, γ≠0 to examine the different investment schemes. Our result shows the advantage of the defined contribution scheme over the defined benefit scheme before and after retirement.

Optimal pension fund management under multi-period risk minimization

2008 ◽  
Vol 166 (1) ◽  
pp. 261-270 ◽  
Author(s):  
Soňa Kilianová ◽  
Georg Ch. Pflug
Keyword(s):  
Pension Fund ◽  
Risk Minimization ◽  
Fund Management ◽  
Pension Fund Management

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Omega ◽  
2019 ◽  
Vol 87 ◽  
pp. 127-141 ◽  
Author(s):  
Vittorio Moriggia ◽  
Miloš Kopa ◽  
Sebastiano Vitali
Keyword(s):  
Stochastic Dominance ◽  
Pension Fund ◽  
Fund Management ◽  
Pension Fund Management

Portfolio allocation for public pension funds

2011 ◽  
Vol 10 (2) ◽  
pp. 221-245 ◽  
Author(s):  
GEORGE PENNACCHI ◽  
MAHDI RASTAD
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Pension Plans ◽  
Public Pension ◽  
Annual Data ◽  
Portfolio Risk ◽  
Fund Management ◽  
Pension Fund Management ◽  
Portfolio Allocations ◽  
State Pension

AbstractThis paper presents a model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation. The model's implications are examined using annual data on the portfolio allocations and plan characteristics of 125 state pension funds over the 2000–2009 period. Consistent with agency behavior by public pension fund management, we find evidence that funds chose greater overall asset – liability portfolio risk following periods of relatively poor investment performance. In addition, pension plans that select a relatively high rate with which to discount their liabilities tend to choose riskier portfolios. Moreover, consistent with a desire to gamble for higher benefits, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees.

Three Steps to Heaven? Tensions in the Management of Welfare: Retirement Pensions and Active Consumers

2005 ◽  
Vol 35 (1) ◽  
pp. 77-96 ◽  
Author(s):  
KIRK MANN
Keyword(s):  
Risk Assessment ◽  
Welfare Reform ◽  
Portfolio Management ◽  
Pension Fund ◽  
Fund Management ◽  
Citizenship Rights ◽  
Lifestyle Choice ◽  
Pension Fund Management ◽  
Working Practices ◽  
The Government

This article explores some of the emerging tensions in the management of welfare in Britain. The success of Labour's proposals for welfare reform, particularly retirement pensions, hinges on their ability to promote the idea of the consumer citizen and to undermine traditional ideas of citizenship rights. However, managing this transition – including the presentation of ideas and the management of consumers – has not been straightforward. While the Government presents retirement as a matter of lifestyle choice, welfare ‘consumers’ are demanding more of their providers and are regularly disgruntled with the response.Simultaneously, pension providers are expressing reservations about their ability to manage aggrieved consumers. Furthermore, they believe pension fund management has been politicised, and their scope for discretion reduced by regulation, while technical and scientific developments in terms of portfolio management and risk assessment have changed the working practices of those in the pension industry. These tensions between consumers, providers and legislators may generate further dissatisfaction with the balance of rights and responsibilities being hotly contested.

A robust optimization approach to pension fund management

2010 ◽  
Vol 11 (2-3) ◽  
pp. 163-177 ◽  
Author(s):  
Garud Iyengar ◽  
Alfred Ka Chun Ma
Keyword(s):  
Robust Optimization ◽  
Pension Fund ◽  
Optimization Approach ◽  
Fund Management ◽  
Pension Fund Management
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