[PDF] Top 20 Optimal asset allocation and annuitisation in a defined contribution pension scheme

... compulsory annuitisation, Ψ ( X t ( ) ) represent member’s disutility after ...the asset allocation ...risky asset is investigated and certain directions for tackling the problem are ... See full document

... a pension fund, how to invest the remaining funds, and whether to pur- chase an ...a defined-contribution per- sonal pension plan. The optimal asset allocation is ... See full document

... As we have motivated above, regret is a major factor when making investment choices because institutional investors, more often than not, care about their choices relative to other strategies they could have employed. ... See full document

... with pension design and the implications to the work of pension ...in pension plan design: behavioural research challenged the notion that workers are rational, autonomous and can exercise unbiased ... See full document

... the optimal investment allocation (derived from a dynamic programming approach) in a defined contribution (DC) pension scheme whose fund is invested in n ...low-risk asset ... See full document

... hybrid pension system, which incorporates good elements of both the DC and DB systems, can meet the ...DC pension plan, but they are somewhat outdated and therefore not representative for the currently low ... See full document

... a pension scheme contains an accumulation (contribution) phase, which is the period before retirement, and a decumulation (distribution) phase, which is the period after ...in pension plans ... See full document

... the optimal consumption process. [4] studied the optimal management of a defined contribution pension plan where the guarantee depends on the level of interest rates at the fixed ... 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

... 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 ... See full document

... of optimal contribution rates, corresponding to the optimal asset allocation strategies shown in Figure ...annual contribution rate at age 20 is just under 8% ...the ... See full document

... a defined contribution pension scheme in making his/her decisions in the post retirement phase before ...stochastic optimal control theory, in a typical Black and Scholes financial ... See full document

... risky asset should be properly selected when choosing the portfolio ...risky asset were coincident with the riskless one, the conclusion seems to indicate that immediate annuitization would be ... See full document

... 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

... It is a well known fact that the conditional variance of asset returns, especially stock market returns, is not constant over time [1] [2]. Stock return volatility is serially correlated, and shocks to volatility ... See full document

... of defined benefit (DB) pension plans encountered a decrease in their funding ratios, largely due to a drop in asset ...sector pension plans may have acted imprudently by chasing returns, once ... See full document

... risk allocation between genera- ...a pension fund with a stable number of new young workers replacing the retirees who get a lump sum payment as pension ...common pension fund the expected ... See full document

... Results are based on 5000 simulations using the PensionMetrics model (multivariate normal distribution). The return parameters are based on forward-looking estimates net of an assumed 1.0% annual charge. The volatility ... See full document

... If the replacement rate is the relevant variable for worker retirement utility, then DB plans offer some degree of insurance against real wage risk.. Of course, protection offered to wor[r] ... See full document

... these variables can be viewed as exogenous, i.e., out of the control of plan policy makers. Adding these variables in the regressions serves two purposes in addition to the role of conventional control variables. First, ... See full document