Optimal investment decisions with a liability: the case of defined benefit pension plans

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Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo;

In this paper the optimal management of an aggregated dynamic pension fund is studied. To cover the promised liabilities to workers at the age of retirement, the plan sponsor continuously manages time-varying funds. He or she can choose the rate of contribution to the f... View more
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