Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-14
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary.
In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset.
By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively.
American Psychological Association (APA)
Zhang, Chubing& Rong, Ximing. 2013. Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model. Discrete Dynamics in Nature and Society،Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-461455
Modern Language Association (MLA)
Zhang, Chubing& Rong, Ximing. Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model. Discrete Dynamics in Nature and Society No. 2013 (2013), pp.1-11.
https://search.emarefa.net/detail/BIM-461455
American Medical Association (AMA)
Zhang, Chubing& Rong, Ximing. Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model. Discrete Dynamics in Nature and Society. 2013. Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-461455
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-461455