[PDF] Top 20 Optimal Asset Allocation Strategy for Defined Contribution Pension Plans with Different Power Utility Functions

... portfolio allocation strategies over multiple periods are built upon the classical dynamic optimization model by Merton [1], which assumes a constant interest rate and constant risk premium without wage ...Since ... See full document

... the optimal investment strategy is stochastic lifestyling rather than the more conventional deterministic ...the optimal weighting in equities is initially very high and subsequently declines as the ... See full document

... used power utility framework, the EIS is given by the reciprocal of the coefficient of relative risk aversion ...capital asset pricing model of Breeden (1979), Schwartz and Torous (1999) disentangle ... See full document

... expected utility-maximization, applied to the management of two phases of a pension fund, the accumulation and decumulation phases, to conclude that the optimal asset allocation to ... See full document

... DC Pension Plan. [1] work on, sto- chastic life styling: optimal dynamic asset allocation for defined contribution pension ...al asset allocation ... See full document

... the optimal portfolio and strategic life- cycle consumption process in a defined contributory pension ...The pension plan members (PPMs) contribute flow of cash into the pension ... See full document

... benchmark pension provided by the PLA. There is a different utility function for each age t = 65, 66, …, ...residual pension fund to buy a life ...the utility functions between t ... See full document

... investment allocation and the downside risk faced by the retiring member, where approximately optimal investment strategies have been adopted (or “sub-optimal” investment strategies, due to the fact ... See full document

... the optimal dynamic asset allocation strategy is the target driven strategy, known as ‘threshold’, ‘funded status’ or ‘return banking’, that was discussed in Blake et ...this ... See full document

... a pension fund for ...a pension income after ...target pension fund at retirement which will depend, in part, on their longevity prospects during ...retirement pension fund and to a series of ... See full document

... DC pension plan seeks to maximize certain utility function based on his attitude to ...used utility functions are constant relative risk aversion (CRRA), that is, the power or loga- ... See full document

... of functions for solving nonlinear optimisation problems uses different ...main functions, GlobalSearch and MultiStartMin. Generally, both functions find the minimum of a nonlinear function of ... See full document

... used power utility framework, the coefficient of relative risk aversion (RRA) is the reciprocal of EIS (see, for example, Campbell and Viceira ...capital asset pricing model, 3 Schwartz and Torous ... See full document

... (representing different forms of rules or factors) on the realizations of the uncertainties of the underlying stochastic ...conservative strategy (Gulpinar and Rustem ... See full document

... an optimal portfolio when holding an annuity. [6-8] considered the optimal design of the minimum guarantee in a defined contribution pension fund ...the pension fund optimizes ... See full document

... the contribution revenue and the pension expenditure in period t+1, the latter being equal to the contributions paid in period t gross of the interests, computed at the rate π , credited on the account ... See full document

... future discounted premiums process. We also establish in this section, the dynamics of the values of wealth of the PPM. In Section 4, we present the valuation of PPM’s wealth process. In Section 5, we present the ... See full document

... Defined-benefit pension plans provided a payout to employees commencing the day they ...Canada, pension plan assets had to be held in trust and therefore separate from the corporation ...the ... See full document

... This section deals with the difficult but relevant problem of implementing the model in practice. This issue has been tackled by Young (2004): she provides the reader with simple rules for choosing the target rate of ... See full document

... a utility function (Pratt, ...the pension fund is empty, which leads to a substantial loss, so that we require L(t, 0) > ...loss functions which are asymmetric about Z = 1 in order to exaggerate a ... See full document