ABSTRACT
In this chapter, we study the optimal management of a de ned ben-e t pension fund of aggregated type, which is common in the employment system. We consider the case where the risk-free market interest rate is a time-dependent function and the bene ts are given by a di usion process increasing on average at an exponential rate. e simultaneous aims of the sponsor are to maximize the terminal value of the expected fund’s assets and to minimize the contribution risk and the terminal solvency risk. e sponsor can invest the fund in a portfolio with n risky assets and a riskless asset. e problem is mathematically formulated by means of a continuous-time mean-variance portfolio selection model and solved by means of optimal stochastic control techniques.
