The Pension Bene fit Guaranty Corporation (PBGC) registers a preoccupying financial condition since 2002. This paper builds a theoretical framework for defi ning its optimal asset allocation in a continuous-time stochastic world. We first recognize the PBGC 's put seller nature and derive...

The paper deals with taxation effects on optimal portfolio rules of de fined contribution (DC) and de fined benefi t (DB) pension funds in a continuous-time setting. Following practice, three tax types are considered: on contributions, investment gains and pensions. We focus on the tax effects...

We analyze the rationale for the pay-as-you-go (paygo) pension system existence on diversi fication grounds. A continuous-time portfolio choice setting is built, basing on Merton (1971)´s analysis, where a reasonable balance between the taking account of the economic and fi nancial facets of...

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean-variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on its...

To control downside risk of a defined benefit (DB) pension plan arising from unexpected mortality improvements and severe market turbulence, this paper proposes an optimization model by imposing two conditional value at risk (CVaR) constraints to control tail risks of pension funding status and...

The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics. A stochastic optimal control model was...