2021 | OriginalPaper | Buchkapitel
Pension Fund Management
verfasst von : Francesco Menoncin
Erschienen in: Risk Management for Pension Funds
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This chapter is the core of this work. By using all the tools that have been developed in the previous chapters, here we show how to compute the dynamic optimal asset allocation of a pension fund that can invest its wealth in four asset classes: (1) a risk-less asset, (2) a stock index, (3) a rolling zero coupon bond, which is a kind of derivative on the risk-less interest rate, and (4) a rolling longevity bond that can be thought as a derivative on the stochastic force of mortality.