GAUSS Junior Talent Prize 2020

Dr. Andreas Lichtenstern completed his PhD at the chair of Rudi Zagst, TUM Professor for Financial Mathematics. His PhD thesis stands out through its high level of actuality and strong practical relevance. For example, one part of the thesis refers to a research project within the ERGO Center of Excellence in Insurance on the tariff partner model as found within the German law for the strengthening of company pensions – better known as the "Nahles-Rente". This aspect was highlighted by the award jury: "The particular innovation of this thesis lies in the solution of previously unanswered mathematical problems on optimal investment strategies for pension funds, and the application of these on the so-called "Nahles-Rente" and its social-partner model", praised Chairman Prof. Alfred Müller.

The dissertation with the title "Optimal Investment Strategies for Pension Funds" deals with stochastic portfolio optimization problems within a financial market model comprising several risky asset categories. In particular, the models which are treated go beyond the currently applied approaches in regard to a realistic behavioral-driven models for risk preferences of investors and age-related risk aversion. Furthermore, it incorporates buffering mechanisms and regulations for pension adjustments.

From these, Dr. Andreas Lichtenstern derives solutions in the form of optimal quantitative dynamic investment and consumption strategies. Beyond this, he discusses economic inter­pretations and motivations of the suggested models. Their relevance and importance are visualized with numeric optimization and simulation studies.

In this way, for every problem an optimal investment strategy can be derived under consideration of potential risk and return. In the case of the "Nahles-Rente" optimization delivers a strategy which reduces the risk of potential pension curtailments and at the same time can generate attractive returns.