Excerpt: The worldwide shift from public pay-as-you-go pension systems to privately funded pension schemes is accompanied by a huge increase in the households capital stock mounting to trillions of dollars worldwide which pour into defined contribution pension plans. In order to assess how these funds should be optimally invested, we derive the optimal time-dependent portfolio allocation strategy taking into account long-term stock market, term structure, and inflation risk. [WP2008-01]  MORE >>