[PDF] Top 20 Optimal investment strategies and risk measures in defined contribution pension schemes

... the investment manager of a pension fund, who would be likely to change the targets every year in response to actual experience, but this would increase considerably the complexity of the mathematical model ... See full document

... Permanent repository link: http://openaccess.city.ac.uk/11898/ Link to published version: http://dx.doi.org/10.1016/S0167-66870200128-2 Copyright and reuse: City Research Online aims to [r] ... See full document

... Figure 12 shows the mean consumption profile for different EIS levels. The desire of a member with a low EIS to achieve consumption stability from one time period to the next is clearly evident. In contrast, a member ... See full document

... qualifying schemes to offer a suitable multi-asset default fund, which rules out investment strategies that comprise mainly commercial ...some schemes, which might be deliberate, but which ... See full document

... rate risk, salary risk, contribution risk, mortality rate and inflation risk are always considered in this ...for optimal investment allocation in a DC scheme and compared ... See full document

... where optimal nominal annuitisation is allowed at age 65 only and no real annuities are allowed, it is optimal to annuitise almost all pension wealth (more than 97% of the available pension ... See full document

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

... ment strategies and ...DC Pension Plan. [1] work on, sto- chastic life styling: optimal dynamic asset allocation for defined contribution pension ...salary risk were ... See full document

... the investment strategy of a portfolio manager in a defined contribution pension system by focusing its atten- tion on the distribution of final pensions, and that has the potential to ... See full document

... 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 ...in ... See full document

... of pension plans and their investment ...the risk management has already been undertaken by the ...well-designed pension plane will be ...targeted pension with a high degree of ...of ... 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 market, ... 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 which ... 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

... longevity risk and financial risk: the retiree faces both the risk of outliving her own assets and the risk of buying, after the deferment period, a lower annuity than the one which was ... See full document

... a defined contribution (DC) pension plan and the average plan member age if trustees design the default fund in line with predictions from the life-cycle portfolio choice ...on Pension funds ... See full document

... ‘lifestyle’ strategies, 6 the target-driven strategy considered here is very ...lifestyle strategies typically involve switching mechanically from 100% equities only in the last 5 to 10 years before ... See full document

... By far, the most popular approach is value function iteration. Specifically, this involves the discretisation of the state variables by setting up a standard equally-spaced grid and solves the optimisation for each grid ... See full document

... the investment strategy adopted over time needs to be far more focused on achieving the specified target replacement ...the investment strategy in a DC pension plan within the framework of loss ... See full document

... lifetime investment problem involves two controls: the asset allocation y and the consumption rate ...The optimal consumption rate b ∗ is derived by balancing the consumption stream with the total utility ... See full document