کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076124 | 1477199 | 2017 | 13 صفحه PDF | دانلود رایگان |
We solve a mean-variance optimisation problem in the accumulation phase of a defined contribution pension scheme. In a general multi-asset financial market with stochastic investment opportunities and stochastic contributions, we provide the general forms for the efficient frontier, the optimal investment strategy, and the ruin probability. We show that the mean-variance approach is equivalent to a “user-friendly” target-based optimisation problem which minimises a quadratic loss function, and provide implementation guidelines for the selection of the target. We show that the ruin probability can be kept under control through the choice of the target level. We find closed-form solutions for the special case of stochastic interest rate following the VasiÄek (1977) dynamics, contributions following a geometric Brownian motion, and market consisting of cash, one bond and one stock. Numerical applications report the behaviour over time of optimal strategies and non-negative constrained strategies.
Journal: Insurance: Mathematics and Economics - Volume 76, September 2017, Pages 172-184