Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment

To ensure the success of a pension plan under self-contained defined contribution (DC) retirement plan, inclusion foreign assets in local portfolio could be beneficial for risk diversification and efficient improvement fund’s investment performance during its accumulation phase. This study focuses on developing international asset allocation criteria DC plan; accordingly, we consider exposure relative to stochastic interest rates ex- change with minimum guarantees. An arbitrage-free framework, namely, cross-currency Heath–Jarrow–Morton rate model, is introduced dynamic optimization programming fund. The proposed solution based generalized framework provides tractable appropriate constituents optimal can reflect changes lifecycles shifts preferences phase plan.