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Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco
Year 2003
Collection Cahiers de recherche; 2003.23
Abstract We analyze the problem of real optimal asset allocation for a pension fund maximising the expected CRRA utility of its real disposable wealth. The financial horizon of the analysis coincides with the random death time of a representative subscriber. We consider a very general setting where there exists a stochastic investment opportunity set together with stochastic contributions and pensions and we derive a quasi-explicit solution. When the market price of risk is independent of the state variables we are also able to compute a closed-form solution. Numerical simulations provide useful practical guidelines regarding the optimal investment strategy.
Keywords Pension fundAsset allocationMortality riskInflation risk
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MENONCIN, Francesco, SCAILLET, Olivier. Mortality risk and real optimal asset allocation for pension funds. 2003 https://archive-ouverte.unige.ch/unige:5785

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Deposited on : 2010-04-15

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