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Computational Management Science

, Volume 14, Issue 1, pp 135–160 | Cite as

Optimal pension fund composition for an Italian private pension plan sponsor

  • Sebastiano Vitali
  • Vittorio Moriggia
  • Miloš Kopa
Original Paper

Abstract

We address the problem of a private pension plan sponsor who has to find the best pension funds for its members. Starting from a descriptive analysis of the pension plan members we identify a set of representative subscribers. Then, the optimal allocation for each representative will become a pension fund of the pension plan. For each representative, we propose a multistage stochastic program (MSP) which includes a multi-criteria objective function. The optimal choice is the portfolio allocation that minimizes the average value at risk deviation of the final wealth and satisfies a wealth target in the final stage and other constraints regarding pension plan regulations. Stochasticity arises from the investor’s salary process and from asset returns. Numerical results show the optimal dynamic portfolios with respect to the investor’s preferences and then the best pension funds the sponsor might offer.

Keywords

Pension fund Optimal policy Multistage stochastic programming Cluster analysis 

Mathematics Subject Classification

90C15 91B30 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  1. 1.Department of Management, Economics and Quantitative MethodsUniversity of BergamoBergamoItaly
  2. 2.Department of Probability and Mathematical Statistics, Faculty of Mathematics and PhysicsCharles University in PraguePragueCzech Republic

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