Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model

Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model

This paper is concerned with the optimal investment strategy for a defined contribution (DC) pension plan. We assumed that the financial market consists of a risk-free asset and a risky asset, where the risky asset is subject to the Ornstein–Uhlenbeck (O-U) process, and stochastic income and inflati...

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Bibliographic Details
Main Authors: Yang Wang, Xiao Xu, Jizhou Zhang
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Mathematics
Subjects:
DC pension plan
O-U process
HJB equation
inflation risk
Legendre transform
Online Access:https://www.mdpi.com/2227-7390/9/15/1756

Internet

https://www.mdpi.com/2227-7390/9/15/1756

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