In this paper, the stochastic dynamic programming approach is used to investigate the optimal asset allocation for a defined-contribution pension plan with downside protection under stochastic inflation. The plan participant invests the fund wealth and the stochastic interim contribution flows...

The Dodd–Frank (D–F) Financial Reform Bill authorizes the Federal Reserve to monitor the financial services marketplace to identify potential threats to the stability of the US financial system. Alan Greenspan's retrospective indicates what he has learned from the crisis. He argues that the...

In this paper, we study the optimal dynamic asset allocation strategy for the ELA scheme of DC pension plan during the distribution phase. In an ELA scheme of DC pension plan, the assets are invested in equities and bonds, and are distributed to the plan participants by an actuarial method. The...

In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount of money as premiums and the management of the pension plan invests the premiums in equities and bonds...

This article discusses the theoretical analysis and practical application of the model of semideterministic multiperiod immunization, used in the management of assets and liabilities. The emphasis is on the main theorems, underlying the theory of the immunization, the formulation of the...