A simulation approach is used to investigate how various investment strategies affect the ability of retirees to spend at a desired level up until death. Retirees are assumed to maintain all investment and longevity risk, and also have access to a government-sponsored and means tested Age...

A new approach succeeds at integrating optimal asset allocation with economic pension liabilities. As a practical matter, pension plan sponsors must relate an understanding of their pension liabilities and the prospective risk/return characteristics of capital market instruments to the specific...

As a practical matter, pension plan sponsors must relate an understanding of their pension liabilities and the prospective risk/return characteristics of capital market instruments to the specific problem of determining an optimal asset mix. Although a number of approaches have been proposed to...