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Cyclical risk exposure of pension funds: A theoretical framework [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)
F. Menoncin
Publisher
Elsevier
ISBN / ASIN
B000RR1TBA
ISBN-13
978B000RR1TB9
Availability
Available for download now
Marketplace
United States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We study the asset allocation problem for a pension fund, which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive, then during the management period the optimal portfolio is constantly riskier (less risky) than Merton's portfolio when the growth rate of workers is higher (lower) than the growth rate of pensioners. In particular, there exists a time when the risk exposure is a maximum (minimum).
Description:
We study the asset allocation problem for a pension fund, which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive, then during the management period the optimal portfolio is constantly riskier (less risky) than Merton's portfolio when the growth rate of workers is higher (lower) than the growth rate of pensioners. In particular, there exists a time when the risk exposure is a maximum (minimum).
