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The Use of Utility Functions for Investment Channel Choice in Defined Contribution Retirement Funds. I: Defence

Published online by Cambridge University Press:  10 June 2011

R.J. Thomson
R.J. Thomson
Affiliation:
School of Statistics and Actuarial Science, University of the Witwatersrand, Johannesburg, Private Bag 3, WITS 2050, South Africa., Tel: +27-(0)11-646-5332, Fax: +27-(0)11-339-6640, Email: rthomson@icon.co.za
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Abstract

This paper addresses the use of expected utility theory for the recommendation of an apportionment between investment channels of a member's interest in a defined contribution retirement fund. Such usage is defended against arguments that have been levelled against expected utility theory and empirical evidence is discussed.

Keywords

Decision TheoryExpected Utility TheoryOptimisationInvestment Channel ChoiceDefined-Contribution Retirement FundsDynamic Programming
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 9 , Issue 3 , 01 August 2003 , pp. 653 - 709
Copyright
Copyright © Institute and Faculty of Actuaries 2003

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