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English

Mortality risk and real optimal asset allocation for pension funds

Contributors

Menoncin, Francesco; Scaillet, Olivier

Collection

  • Cahiers de recherche; 2003.23

Publication date

2003

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 fund
  • Asset allocation
  • Mortality risk
  • Inflation risk

UNIGE affiliation entities

Citation (ISO format)

MENONCIN, Francesco, SCAILLET, Olivier. Mortality risk and real optimal asset allocation for pension funds. 2003

Main files (1)

Report

Identifiers

  • PID : unige:5785
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Technical informations

Creation

15/04/2010 12:20:05

First validation

15/04/2010 12:20:05

Update

11/03/2024 10:12:48

Status update

11/03/2024 10:12:48

Last indexation

29/10/2024 14:23:04
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