scholarly journals A Constrained Investment Policy for Defined -- Contribution Pension Fund Management

2013 ◽  
Vol 5 (2) ◽  
Author(s):  
Godswill U. Achi ◽  
Okafor J. U.
Keyword(s):  
Pension Fund ◽  
Investment Policy ◽  
Defined Contribution ◽  
Fund Management ◽  
Pension Fund Management

scholarly journals On the Application of Stochastic Optimal Control to Pension Fund Management

2012 ◽  
Vol 3 ◽  
pp. 54-66
Author(s):  
Bright O. Osu ◽  
Onwukwe Ijioma
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Pension Fund ◽  
Management Problem ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Fund Management ◽  
Pension Fund Management ◽  
Before And After ◽  
Investment Returns

In this paper, we apply the stochastic optimal control theory to the pension fund management before and after retirement in the defined contribution and defined benefit pension schemes, where benefits are paid as investment returns for a period or duration of time. The goal of the management problem is to optimize the long-term growth of expected utility of returns. We consider different types of power law utility function of the form U(X)=γ-1Xγ, γ<1, γ≠0 to examine the different investment schemes. Our result shows the advantage of the defined contribution scheme over the defined benefit scheme before and after retirement.

Optimal Multistage Defined-Benefit Pension Fund Management

2017 ◽  
pp. 267-296 ◽  
Author(s):  
Giorgio Consigli ◽  
Vittorio Moriggia ◽  
Elena Benincasa ◽  
Giacomo Landoni ◽  
Filomena Petronio ◽  
...  
Keyword(s):  
Pension Fund ◽  
Defined Benefit ◽  
Fund Management ◽  
Pension Fund Management
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