شماره ركورد كنفرانس :
5508
عنوان مقاله :
Optimal Investment Strategy for a DC Pension Fund Plan in a Finite Horizon Time
پديدآورندگان :
Vahabi Saman s_vahabi@sbu.ac.ir Shahid Beheshti University, Tehran, Iran , Payandeh Amir T. amirtpayandeh@sbu.ac.ir Shahid Beheshti University, Tehran, Iran
كليدواژه :
Optimal Strategy , Pension Plans , Finite , Infinite activity L´evy Processes , Pension Fund.
عنوان كنفرانس :
كنفرانس ملي مهندسي مالي و بيمسنجي ايران
چكيده فارسي :
This paper obtains an optimal strategy in a finite horizon time for a portfolio of a DC pension fund for an investor with the CRRA utility function. It employs the optimal stochastic control method in a financial market with two different asset markets, one risk free and another one risky asset with its jump follows either a finite or infinite activity L´evy process. Sensitivity of jump parameters in a uncertainty financial market has been studied.
