Optimal asset management for pension funds
Optimal asset management for pension funds
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DOI：
10.1108/03074350610652260
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发表时间：
2006-04
影响因子：
1.6
通讯作者：
F. Menoncin;O. Scaillet
中科院分区：
文献类型：
--
作者：
F. Menoncin;O. Scaillet
目的-本文的目的是研究养老基金的资产分配问题，该问题使其财富的预期现值最大化，并在代表成员去世时增加预期的数学储备。设计/方法/途径--本文将随机优化技术应用于连续时间。为了给出一个明确的解决方案，它同时考虑了确定性利率和风险的市场价格的情况。研究结果--本文证明了最优投资组合的风险总是低于Merton(1969-1971)的投资组合。特别是，在养恤金日期之前，资产配置的风险越来越小，而在基金的代表成员退休后，风险变得越来越大。实际意义--这篇论文展示了在积累和积累阶段管理养老基金投资组合的最佳方式。原创性/价值--本文填补了最优投资组合文献中有关精算和财务框架联合分析的空白。特别是，它表明，精算部分强烈影响最优资产配置的行为。
Purpose – The purpose of this paper is to study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach - The paper applies the stochastic optimization technique in continuous time. In order to present an explicit solution it considers the case of both deterministic interest rate and market price of risk. Findings - The paper demonstrates that the optimal portfolio is always less risky than the Merton's (1969-1971) one. In particular, the asset allocation is less and less risky until the pension date while, after retirement of the fund's representative member, it becomes riskier and riskier. Practical implications - The paper shows the best way for managing a pension fund portfolio during both the accumulation and the decumulation phases. Originality/value - The paper fills a gap in the optimal portfolio literature about the joint analysis of both the actuarial and the financial framework. In particular, it shows that the actuarial part strongly affects the behaviour of the optimal asset allocation.