Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans - Proceedings AFIR 2000 - Tromsø, Norway
نویسنده
چکیده
We develop an optimal asset allocatlon model for the accumulation phase of a definedcontribution pension plan in the presence of non-hedgeable salary risk. The model considers a policyholder who each penod, r. contributes a constant proportlon. rc. of his salary, S(I), to a personal pension fund, W(r). At the time of retirement, T. the fund IS converted into an annuity paying W( T)/cr( T) each penod, where u( 7‘) IS the prevailing annuity rate at the time of retirement.
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