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Scientific article
Open access
English

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Published inAnnals of operation research, vol. 152, no. 1, p. 141-165
Publication date2007
Abstract

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases.

Keywords
  • Pension fund
  • Mortality risk
  • Asset allocation
Citation (ISO format)
BATTOCCHIO, Paolo, MENONCIN, Francesco, SCAILLET, Olivier. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. In: Annals of operation research, 2007, vol. 152, n° 1, p. 141–165. doi: 10.1007/s10479-006-0144-2
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Article (Accepted version)
accessLevelPublic
Identifiers
ISSN of the journal0254-5330
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