This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...

Are defined contribution (DC) pension funds' capital flows sensitive to performance? We examine pressures from individual account holders who can switch their pension managers. Using novel data on retirement accounts for nearly 10 million individuals, we analyze switching behavior based on the...