Title :
Optimal portfolios for DC pension with stochastic salary
Author :
Chu-bing, Zhang ; Ru-jing, Hou
Author_Institution :
Sch. of Bus., Tianjin Univ. of Finance & Econ., Tianjin, China
Abstract :
In the paper, we study the optimal investment strategies of DC pension, in the presence of a stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset and a risky asset. By applying the Hamilton-Bellman equation, power transform and variable change technique, we find the explicit solution for the CARA utility function.
Keywords :
investment; pensions; risk analysis; salaries; stochastic processes; utility theory; CARA utility function; DC pension; Hamilton-Bellman equation; defined-contribution plan; optimal investment; optimal portfolios; power transform; risk-free asset; risky asset; stochastic salary; Economics; Insurance; Investments; Mathematical model; Pensions; Stochastic processes; Hamilton-Jacobi-Bellman equation; defined contribution pension plan; optimal portfolios; stochastic salary;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5917005
