13.05.2019 15:00 Russell Gerrard, CASS Business School:
An optimal investment strategy for future pension plansB349 (Theresienstraße 39, 80333 Mathematisches Institut, LMU)

Since the work of Merton (1969) the construction of optimal investment portfolios in a time-homogeneous market has been well understood. We review the situation when market parameters are allowed to vary stochastically and apply this to the problem of constructing a pension investment scheme which provides a guaranteed minimum sum on retirement at the expense of imposing an upper limit. We limit ourselves to the accumulation phase, during which payments are made into the fund. The aim of the overall project is to devise pension investment strategies whose behaviour is close to optimal but which present investors with easily explained choices.