Abstract

This chapter studies the portfolio choice problem of pension fund managers who operate in a competitive setting, and that are subject to minimum return guarantees (MRGs), such as those in Latin America and Central Europe pension systems. In particular, the chapter takes a standard dynamic portfolio choice problem (for example, Merton 1969, 1971) and studies the effects of MRGs in a setting in which fund managers have relative performance concerns and dynamic portfolio selection is subject to strategic considerations, along the lines of Basak and Makarov (2008, hereafter BM).