Cyclical risk exposure of pension funds: A theoretical framework
AbstractWe study the asset allocation problem for a pension fund which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive, then during the management period the optimal portfolio is constantly riskier (less risky) than Mertonâs portfolio when the growth rate of workers is higher (lower) than the growth rate of pensioners. In particular, there exists a time when the risk exposure is a maximum (minimum).
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 36 (2005)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/inca/505554
Other versions of this item:
- Francesco Menoncin, 2005. "Cyclical risk exposure of pension funds: a theoretical framework," Working Papers ubs0503, University of Brescia, Department of Economics.
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