Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model
Joint Authors
Li, Yongwu
Sun, Jingyun
Li, Zhongfei
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-18, 18 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-04-30
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Abstract EN
We consider a portfolio selection problem for a defined contribution (DC) pension plan under the mean-variance criteria.
We take into account the inflation risk and assume that the salary income process of the pension plan member is stochastic.
Furthermore, the financial market consists of a risk-free asset, an inflation-linked bond, and a risky asset with Heston’s stochastic volatility (SV).
Under the framework of game theory, we derive two extended Hamilton-Jacobi-Bellman (HJB) equations systems and give the corresponding verification theorems in both the periods of accumulation and distribution of the DC pension plan.
The explicit expressions of the equilibrium investment strategies, corresponding equilibrium value functions, and the efficient frontiers are also obtained.
Finally, some numerical simulations and sensitivity analysis are presented to verify our theoretical results.
American Psychological Association (APA)
Sun, Jingyun& Li, Zhongfei& Li, Yongwu. 2016. Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-18.
https://search.emarefa.net/detail/BIM-689325
Modern Language Association (MLA)
Sun, Jingyun…[et al.]. Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. Mathematical Problems in Engineering No. 2016 (2016), pp.1-18.
https://search.emarefa.net/detail/BIM-689325
American Medical Association (AMA)
Sun, Jingyun& Li, Zhongfei& Li, Yongwu. Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-18.
https://search.emarefa.net/detail/BIM-689325
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 17-18
Record ID
BIM-689325