Performance Measurement of Empirical and Theoretical Pension Investment Strategies

Abstract

This thesis deals with both the pension products offered by Danish pension providers and optimal saving contracts under various optimization criteria. Its approach is to analyse the investment strategies defining a given product, compare them with each other and suggest the best product given a pension saver's preferences. We develop a performance measurement methodology, which allows us to compare the products with different risks. Numerical results are obtained through a number of simulation studies. We consider pure unit-linked products, with-profit unit-linked products, mean-variance optimal strategies with pre-commitment and constant proportion portfolio insurance (CPPI) strategies with a terminal floor.

Keywords: Unit-Linked Products, With-Profit Products, Power Utility Optimization, Mean-Variance Optimization, Market Valuation, Stochastic Optimal Control, Performance Measurement Methodoloogy