Optimal pension fund management under multi-period risk minimization

@article{Kilianov2009OptimalPF,
  title={Optimal pension fund management under multi-period risk minimization},
  author={Sona Kilianov{\'a} and Georg Ch. Pflug},
  journal={Annals OR},
  year={2009},
  volume={166},
  pages={261-270}
}
In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, a member of the pension plan is given a possibility to switch periodically between m types of the funds with different risk profile and so actively manage her risk exposure and expected return. Minimization the multi-period risk measure under a return constraint leads to an efficient frontier. A theoretical framework and… CONTINUE READING

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