Optimal Dynamic Asset Allocation for Defined-Contribution Pension Plans
نویسنده
چکیده
We develop an optimal asset allocation 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 period, t, contributes a constant proportion, π, of his salary, S(t), to a personal pension fund, W(t). At the time of retirement, T , the fund is converted into an annuity paying W (T)/a(T) each period, where a(T) is the prevailing annuity rate at the time of retirement.
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