ABSTRACT
The issue that a pension fund manager faces is how to optimize his or her investment
strategies. The question we resolved is the optimal design of the minimum guarantee
in a defined contribution pension Fund Scheme. We study the optimal asset allocation
strategy a given fund manager can adopt to maximize surplus (the difference between the
total wealth and the Guarantee) and the payback ratio (ratio between total wealth and
Guarantee). Finally, We analyze the impact of the main parameter which is the sharing
rule between the contributor and the pension fund. The sharing rule is a way to creating a
continuum between two extreme pension funding methods that are Defined Contribution
and Defined Benefit pension fund, and the sharing rule allows partial risk transfer between
the pension fund contributors and the pension fund manager. we consider a case of a
pension fund company which invests in a bond, stocks and a capital market account. The
uncertainty in the financial market is driven by Brownian motions. Numerical simulations
have been performed to compare the different models.
MUNYWOKI, J (2021). Optimal Investment Strategies Of A Defined Contribution Pension Fund. Afribary. Retrieved from https://tracking.afribary.com/works/optimal-investment-strategies-of-a-defined-contribution-pension-fund
MUNYWOKI, JOHNSTONE "Optimal Investment Strategies Of A Defined Contribution Pension Fund" Afribary. Afribary, 07 May. 2021, https://tracking.afribary.com/works/optimal-investment-strategies-of-a-defined-contribution-pension-fund. Accessed 24 Nov. 2024.
MUNYWOKI, JOHNSTONE . "Optimal Investment Strategies Of A Defined Contribution Pension Fund". Afribary, Afribary, 07 May. 2021. Web. 24 Nov. 2024. < https://tracking.afribary.com/works/optimal-investment-strategies-of-a-defined-contribution-pension-fund >.
MUNYWOKI, JOHNSTONE . "Optimal Investment Strategies Of A Defined Contribution Pension Fund" Afribary (2021). Accessed November 24, 2024. https://tracking.afribary.com/works/optimal-investment-strategies-of-a-defined-contribution-pension-fund