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This paper presents an approach via linear stochastic programming for investment decision making in a defined benefit pension fund plan. It proposes a new methodology for defining the allocation of the portfolio at the initial time based on the average of several randomly generated economic scenarios. As an illustrative example, this methodology is used to solve the problem of portfolio initial allocation of a large Brazilian pension fund and the obtained initial allocation is evaluated in terms of fund’s probability of default and VaR, Value-at-Risk, at the final time of the investment planning horizon.

Tomada de decisão de investimento em um fundo de pensão com plano de benefícios do tipo benefício definido: uma abordagem via programação estocástica multiestágio linear.