caa a22 4500 445363312 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110601xx s 000 0 eng 10.1007/s00780-010-0127-7 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0127-7 Pension funds with a minimum guarantee: a stochastic control approach [Elektronische Daten] [Marina Di Giacinto, Salvatore Federico, Fausto Gozzi] In this paper we propose and study a continuous-time stochastic model of optimal allocation for a defined contribution pension fund with a minimum guarantee. We adopt the point of view of a fund manager maximizing the expected utility from the fund wealth over an infinite horizon. In our model the dynamics of wealth takes directly into account the flows of contributions and benefits, and the level of wealth is constrained to stay above a "solvency level.” The fund manager can invest in a riskless asset and in a risky asset, but borrowing and short selling are prohibited. We concentrate the analysis on the effect of the solvency constraint, analyzing in particular what happens when the fund wealth reaches the allowed minimum value represented by the solvency level. The model is naturally formulated as an optimal stochastic control problem with state constraints and is treated by the dynamic programming approach. We show that the value function of the problem is a regular solution of the associated Hamilton-Jacobi-Bellman equation. Then we apply verification techniques to get the optimal allocation strategy in feedback form and to study its properties. We finally give a special example with explicit solution. Springer-Verlag, 2010 Defined contribution pension fund nationallicence Minimum guarantee nationallicence Stochastic optimal control nationallicence Dynamic programming nationallicence Hamilton-Jacobi-Bellman equation nationallicence Viscosity solution nationallicence Di Giacinto Marina Dipartimento Istituzioni, Metodi Quantitativi e Territorio, Facoltà di Economia, Università degli studi di Cassino, via Sant'Angelo s.n.c., 03043, Cassino, FR, Italy aut Federico Salvatore Dipartimento di Scienze Economiche ed Aziendali, Facoltà di Economia, Libera Università Internazionale degli Studi Sociali "Guido Carli”, viale Romania 32, 00197, Roma, Italy aut Gozzi Fausto Dipartimento di Scienze Economiche ed Aziendali, Facoltà di Economia, Libera Università Internazionale degli Studi Sociali "Guido Carli”, viale Romania 32, 00197, Roma, Italy aut Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 297-342 0949-2984 15:2<297 2011 15 780 https://doi.org/10.1007/s00780-010-0127-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0127-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Di Giacinto Marina Dipartimento Istituzioni, Metodi Quantitativi e Territorio, Facoltà di Economia, Università degli studi di Cassino, via Sant'Angelo s.n.c., 03043, Cassino, FR, Italy aut NATIONALLICENCE 700 1- Federico Salvatore Dipartimento di Scienze Economiche ed Aziendali, Facoltà di Economia, Libera Università Internazionale degli Studi Sociali "Guido Carli”, viale Romania 32, 00197, Roma, Italy aut NATIONALLICENCE 700 1- Gozzi Fausto Dipartimento di Scienze Economiche ed Aziendali, Facoltà di Economia, Libera Università Internazionale degli Studi Sociali "Guido Carli”, viale Romania 32, 00197, Roma, Italy aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 297-342 0949-2984 15:2<297 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer