Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans

By Andrew J. G. Cairns, David P. Blake, Kevin Dowd. 2006

363 citations recorded by the source corpus.

Subfields: Accounting, Demography, General Health Professions

View Paper: https://www.semanticscholar.org/paper/2fe645e82e35db53906f1089ea91fc663fb6dc8d

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Citations in the corpus

Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, background): “There are many studies considering the optimal investment strategy before retirement to maximize the expected utility from terminal wealth, for example, Devolder et al. (2003), Cairns et al. (2006) and Korn et al. (2011).”
Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “For more detailed discussion on DC pension fund management, we refer to Cairns et al. (2006), Giacinto et al. (2011), Giacinto and Vigna (2012), Emms (2012), and Blake et al. (2013).”
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, methodology): “For illustrative purposes, we will also report results for the lifestyle strategy (see, e.g., Cairns et al. (2006)), widely used by DC pension plans in the UK.”
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014, background): “Moreover, Cairns et all [3] (2006) considered the case when the goal of the pension manager was to maximize the annuity bought at retirement and used the salary as a numeraire.”
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase (2001, background): “Optimal dynamic asset-allocation strategies can, of course, be used, but are much less straightforward to explain (see, e.g., Cairns et al., 2000).”
Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, background): “Last but not least, the strategies displayed in Figure 4 are in line with the so-called lifestyle strategy, which is widely adopted by DC pension funds in UK (Cairns et al., 2006): the large initial investment in risky assets is progressively switched into cash in the decade prior to retirement.”
Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk (2015, background): “For example, to maximize the expected utility from the terminal wealth under the CRRA or CARA utility functions, Cairns et al. (2006) investigate the asset allocation strategies to DC schememembers with asset, salary and interest rate risk, and propose a novel form of terminal utility…”
Nash equilibrium strategies for a defined contribution pension management (2015, neutral): “See, for example, Boulier et al. (2001), Battocchio and Menoncin (2004), Cairns et al. (2006), Zhang et al. (2007), Gao http://dx.doi.org/10.1016/j.insmatheco.2015.03.014 0167-6687/© 2015 Elsevier B.V.”
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (2010, positive): “In the following, we give a brief overview of the model developed in (Cairns et al., 2006).”
Pensionmetrics 2: stochastic pension plan design during the distribution phase (2003, methodology): “We also make use of the following mortality and financial functions: • qx and px are the year-on-year mortality and survival probabilities respectively.10 The values of these probabilities are the same as those used in the most appropriate UK mortality table for compulsory-purchase, male annuitants…”
Annuitization and asset allocation (2007, background): “C t = c ∗ (W ∗ t , t) = W ∗ t ψ(t) , (14) and”
Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns (2015, background): “Later, Cairns, Blake and Dowd [7](2006)solved the DC problem with risks of contribution to maximize the CRRA utility of wealth as well as life annuity at retirement.”