The trend towards eliminating defined benefit (DB) pension plans in favor 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 the optimal asset allocation to bonds and stocks using an Annually Recalculated Virtual Annuity (ARVA) spending rule for DC pension plan decumulation. Our objective function minimizes downside withdrawal variability for a given fixed value of total expected withdrawals. The optimal...

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...

A data driven Neural Network (NN) optimization framework is proposed to determine optimal asset allocation during the accumulation phase of a defined contribution pension scheme. In contrast to parametric model based solutions computed by a partial differential equation approach, the proposed...

Target Date Funds have become very popular with investors saving for retirement. The main feature of these funds is that investors are automatically switched from high risk to low risk assets as retirement approaches. However, our analysis brings into question the rationale behind these funds....

We consider optimal asset allocation for a long-term investor saving for retirement. The investment portfolio consists of a bond index and a stock index. Using multi-period mean variance criteria, we explore two types of strategies: deterministic strategies are based only on the time remaining...