On loss-avoiding lump-sum pension optimization with contingent targets
AbstractConsider a lump-sum pension fund problem, in which an agent deposits an amount with a fund manager up front and is later repaid a lump sum x(T) after time T. The fund manager may be both cautious in seeking a payoff x(T) meeting a certain target, but relaxed toward the possibility of exceeding this target. We use a computational method in stochastic optimal control (“SOCSol”) to find approximately-optimal decision rules for such “cautious-relaxed” fund managers. In particular, we examine fund optimisation problems in which the target is contingent upon market conditions such as inflation.
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Bibliographic InfoPaper provided by Victoria University of Wellington, School of Economics and Finance in its series Working Paper Series with number 1532.
Date of creation: 2011
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lump-sum; pension; optimal; inflation;
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- Foster, Jarred, 2011. "Target variation in a loss avoiding pension fund problem," MPRA Paper 36177, University Library of Munich, Germany.
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