The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...

We determine a simple dynamic benchmark for asset allocation by solving an optimal stochastic control problem for outperforming the traditional constant proportion benchmark. An objective function based on a time averaged quadratic deviation from an elevated benchmark is proposed. We argue that...