Optimal Investment Strategies for Defined Contribution Pension Funds with Multiple Contributors

2014 ◽  
Author(s):  
Dawei Gu ◽  
Jingyi Zhang
Keyword(s):  
Optimal Investment ◽  
Pension Funds ◽  
Investment Strategies ◽  
Defined Contribution

scholarly journals Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

2014 ◽  
Vol 2014 ◽  
pp. 1-7 ◽  
Author(s):  
Chubing Zhang
Keyword(s):  
Portfolio Selection ◽  
Closed Form Solution ◽  
Efficient Frontier ◽  
Optimal Investment ◽  
Pension Funds ◽  
Form Solution ◽  
Defined Contribution ◽  
Time Dynamic ◽  
Mean Variance Portfolio ◽  
Mean Variance

This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier.

Welfare analysis of conditional indexation schemes from a two-reference-point perspective

2008 ◽  
Vol 8 (3) ◽  
pp. 321-350 ◽  
Author(s):  
RENXIANG DAI ◽  
J.M. SCHUMACHER
Keyword(s):  
Life Cycle ◽  
Continuous Time ◽  
Reference Point ◽  
Welfare Analysis ◽  
Pension Funds ◽  
Contingent Claim ◽  
Investment Strategies ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Middle Way

AbstractConditional indexation has recently attracted interest with pension funds that are looking for a middle way between defined benefit and defined contribution. In this paper, we analyze conditional indexation schemes from a life-cycle investment perspective. Welfare analysis is applied to investigate the performance of such schemes relative to alternative investment strategies such as fixed-mix policies. We carry out this analysis in the context of a broad family of utility functions, which takes into account the possible presence of two benchmark levels corresponding to a minimum guaranty and to full indexation, respectively. For the purpose of comparability, we construct a self-financing continuous-time implementation of the conditional indexation scheme. The implementation involves continual adjustment of the parameters of the contingent claim representing final payoff. Our findings indicate that, in situations where large weight is placed on the benchmark levels, conditional indexation is fairly close to being optimal.

scholarly journals Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk

2020 ◽  
Author(s):  
Danping Li ◽  
Junna BI ◽  
Mengcong Hu
Keyword(s):  
Ambiguity Aversion ◽  
Pension Plan ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Investment Strategies ◽  
Value Functions ◽  
Defined Contribution ◽  
Optimal Investment Problem ◽  
Mean Variance

This paper considers an alpha-robust optimal investment problem for a defined contribution (DC) pension plan with uncertainty about jump and diffusion risks in a mean-variance framework. Our model allows the pension manager to have different levels of ambiguity aversion, rather than only consider the extremely ambiguity-averse attitude. Moreover, in the DC pension plan, contributions are supposed to be a predetermined amount of money as premiums and the pension funds are allowed to be invested in a financial market which consists of a risk-free asset, and a risky asset satisfying a jump-diffusion process. Notice that a part of pension members could die during the accumulation phase, and their premiums should be withdrawn. Thus, we consider the return of premiums clauses by an actuarial method and assume that the surviving members will share the difference between the return and the accumulation equally. Taking account of the pension fund size and the volatility of the accumulation, a mean-variance criterion as the investment objective for the DC plan can be formulated. By applying a game theoretic framework, the equilibrium investment strategies and the corresponding equilibrium value functions can be obtained explicitly. Economic interpretations are given in the numerical simulation, which is presented to illustrate our results.

scholarly journals The Influence of Pension Scheme Maturity on Investment Strategies of Pension Funds in Kenya

2018 ◽  
Vol 13 (10) ◽  
pp. 1
Author(s):  
Wilson Ngugi ◽  
Amos Njuguna ◽  
Francis Wambalaba
Keyword(s):  
Secondary Data ◽  
Pension Funds ◽  
Pension Scheme ◽  
Investment Strategies ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Retirement Benefits ◽  
Risky Assets ◽  
Life Cycle Theory ◽  
Funding Risk

The longevity risk borne by members of defined contribution pension schemes and the funding risk borne by sponsors of defined benefit pension funds have shifted attention to the investment strategies employed by pension funds. We use secondary data from 206 occupational retirement benefits schemes in Kenya, to examine the influence of pension scheme maturity on investment strategies. We then triangulate the results using focused group discussions with industry experts. Results from the regression models indicate that scheme maturity does not influence the investment strategies of occupation schemes in Kenya contrary to life cycle theory. The Retirement Benefits Authority and trustees of retirement benefits schemes in Kenya are advised to offer members’ investment choices coupled with education to enable them make decisions to reduce their exposure to risky assets as they age.

scholarly journals Nexus Between Pension Fund Size, Design and Investment Strategy: A Review of Occupational Retirement Benefits Schemes in Kenya

2018 ◽  
Vol 9 (3) ◽  
pp. 108 ◽  
Author(s):  
Wilson Ngugi ◽  
Amos Njuguna
Keyword(s):  
Secondary Data ◽  
Investment Strategy ◽  
Pension Funds ◽  
Investment Strategies ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Retirement Benefits ◽  
Retirement Benefit ◽  
Fund Size ◽  
Funding Risk

The funding risk borne by sponsors of defined benefit pension funds and the residual risk borne by members of defined contribution pension funds have necessitated focus on the investment strategies employed by pension funds. We use secondary data from 206 pension funds in Kenya, to determine the nexus between the investment strategy, size and design. We then validate the results using focused group discussions with industry experts. Results from the regression models indicate that larger schemes adopted a riskier investment strategies compared to their smaller counterparts. However, the investment strategies are not informed by the fund designs. Trustees of retirement benefit schemes are therefore advised to focus their investment strategies to avoid exposing the residual claimants to excessive risk.

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