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A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits

John M. Mulvey, Lionel Martellini, Han Hao and Nongchao Li
The Journal of Portfolio Management Quantitative Special Issue 2019, 45 (3) 165-177; DOI: https://doi.org/10.3905/jpm.2019.45.3.165
John M. Mulvey
is a professor at Princeton University in the Operations Research and Financial Engineering Department in Princeton, NJ
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Lionel Martellini
is a professor of finance at EDHEC Business School and the director of EDHEC–Risk Institute in Nice, France
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Han Hao
is a doctoral student in the Operations Research and Financial Engineering Department at Princeton University in Princeton, NJ
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Nongchao Li
is a doctoral student in the Operations Research and Financial Engineering Department at Princeton University in Princeton, NJ
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Abstract

A factor and goal-driven framework for assessing asset allocation and contribution decisions within defined-benefit pension plans is developed in this article. A critical element is setting future benefits with reference to the ability of the pension sponsors to support liabilities under reasonable investment expectations. The approach suggested by the authors combines a micro study of a representative cohort of individuals with an aggregation across a target population to estimate consistency between the micro and macro environments. A stochastic inflation risk factor affects both contribution and spending cash flows. This agent-based model suggested by the authors provides a more realistic framework than traditional approaches for setting pension benefits.

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The Journal of Portfolio Management: 45 (3)
The Journal of Portfolio Management
Vol. 45, Issue 3
Quantitative Special Issue 2019
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A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits
John M. Mulvey, Lionel Martellini, Han Hao, Nongchao Li
The Journal of Portfolio Management Feb 2019, 45 (3) 165-177; DOI: 10.3905/jpm.2019.45.3.165

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A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits
John M. Mulvey, Lionel Martellini, Han Hao, Nongchao Li
The Journal of Portfolio Management Feb 2019, 45 (3) 165-177; DOI: 10.3905/jpm.2019.45.3.165
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  • Article
    • Abstract
    • MULTIREGIME SCENARIO GENERATOR
    • AN OVERVIEW OF MICRO–MACRO ANALYSIS
    • STYLIZED EXAMPLE: THE US SOCIAL SECURITY SYSTEM
    • EMPIRICAL TEST #2: EXAMPLES WITH A PORTFOLIO OF RISKY ASSETS
    • CONCLUSIONS
    • ENDNOTES
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