In this work, we consider rule-based investment strategies for managing a defined contribution pension savings scheme, under the Dutch pension fund testing model. We find that dynamic, rule-based investment strategies can outperform traditional static strategies, by which we mean that the investor may achieve the target retirement income with a higher probability or limit the shortfall when the target is not met. In comparison with dynamic programming-based strategies, the rule-based strategies have more stable asset allocations throughout time and avoid excessive transactions that may be hard to explain to an investor. We also study a combined strategy of a rule-based target with dynamic programming. A key feature of our setting is that there is no risk-free asset, instead, a matching portfolio is introduced for the investor to avoid unnecessary risk.

在这项工作中，我们考虑在荷兰养老基金测试模型下管理固定缴款养老金储蓄计划的基于规则的投资策略。我们发现动态的、基于规则的投资策略可以胜过传统的静态策略，我们的意思是投资者可能以更高的概率实现目标退休收入，或者在没有达到目标时限制缺口。与基于动态规划的策略相比，基于规则的策略具有更稳定的资产配置，并避免可能难以向投资者解释的过度交易。我们还研究了基于规则的目标与动态规划的组合策略。我们设置的一个关键特征是没有无风险资产，相反，