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 Merton’s 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 InfoPaper provided by University of Brescia, Department of Economics in its series Working Papers with number ubs0503.
Date of creation: 2005
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Web page: http://www.unibs.it/atp/page.1019.0.0.0.atp?node=224
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Other versions of this item:
- Menoncin, Francesco, 2005. "Cyclical risk exposure of pension funds: A theoretical framework," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 469-484, June.
- NEP-ALL-2006-02-12 (All new papers)
- NEP-FMK-2006-02-12 (Financial Markets)
- NEP-RMG-2006-02-12 (Risk Management)
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