Optimal glide path design for funding financial commitments

摘要

Methods are provided for allocating assets of defined benefit or defined contribution investing plans that yield the highest post-employment standard of living given a level of risk acceptable to plan participants, and that minimize saving rates and risk. The Nash equilibrium glide path representing a series of time-dependent investment portfolios including multiple asset classes is generated, taking into account demographic data for plan participants and at least one selected risk tolerance level, and utilizing computer-implemented optimization. Multiple moments of a stochastic present value of future cash flows are calculated, and a matching distribution is selected. Risk analysis of the glide path and financial commitments utilizes this matching distribution.