In this review paper we recall a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We assume stock prices to be driven by a geometric Brownian...

The existing literature deals with the optimal investment strategy of defined benefit (DB) or defined contribution (DC) pension plans. This paper's objective is to compare the optimal policies of different types of pension plans. This is done by first defining an original framework, which is...

Assuming the loss aversion framework of Tversky and Kahneman (1992), stochastic investment and labour income processes, and a path-dependent fund target, we show that the optimal investment strategy for defined contribution pension plan members is a target-driven ‘threshold' strategy, whereby...

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...