稳健性(进化)
退休金
经济
债券
文件夹
膨胀(宇宙学)
投资管理
人寿保险
目标日期基金
精算学
金融市场
财务
机构投资者
开放式基金
市场流动性
物理
基因
化学
生物化学
公司治理
理论物理学
作者
Ioannis Baltas,Łukasz Dopierała,Krzysztof Kołodziejczyk,Marek Szczepański,Gerhard‐Wilhelm Weber,Athanasios N. Yannacopoulos
标识
DOI:10.1016/j.ejor.2021.08.038
摘要
In the present work, we study the problem of optimal management of defined contribution pension funds, during the distribution phase, under the effect of inflation, mortality and model uncertainty. More precisely, we consider a class of employees, who, at the time of retirement, enter a life assurance contract with the same insurance firm. The fund manager of the firm collects the entry fees to a portfolio savings account and this wealth is to be invested optimally in a Black–Scholes type financial market. As such schemes usually last for many years, we extend our framework, by: (i) augmenting the financial market with an inflation-adjusted bond, and, (ii) taking into account mortality of the fund members. Model uncertainty aspects are introduced as the fund manager does not fully trust the model he/she faces. By resorting to robust control and dynamic programming techniques, we provide: (a) closed-form solutions for the case of the exponential utility function, (b) a detailed study of the qualitative features of the problem at hand that elucidates the effect of robustness and inflation on the optimal investment decisions.
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