Introduction

Abstract

Since the seminal papers of Markowitz (J Financ 7:77–91, 1952) and Merton (Rev Econ Stat 51:247–257, 1969; Merton, J Econ Theory 3:373–413, 1971), the literature about optimal asset allocation and risk management has been developing fast and now takes into account many possible frameworks and applications. Here, we deal with the application of the asset allocation problem to a more recent topic: the pension funds.