Generating effective defined-contribution pension plan using simulation optimization approach

► A simulation algorithm, evolution strategies, enable slong-term investment selection of defined-contribution pensions. ► Multi-period asset allocation matches the target liability amount by ther etirement date and reduces downside risk. ► Simulations reveal promising multi-period asset investment strategies without high sensitivity to single-point forecasts. ► Algorithm results achieve higher average investment returns and lower levels of volatility under different conditions. ► With downside risk monitoring, this approach can help risk-seeking managers and investors enhance investment performance.