A Pure Accumulation Fund

Abstract

In this final chapter we compute the optimal portfolio for another institutional investor which deals with neither the mortality nor the longevity risk. Instead, this fund just manages the contributions of a worker and provides him/her with an amount of money at the end of the management period. We assume that the same amount of money is due independently of the agent’s survival or, in other words, the heirs have the right to receive the whole amount due to the original subscriber.