On the Effect of Stochastic Extra Contribution on Optimal Investment Strategies for Stochastic Salary Under the Affine Interest Rate Model in a DC pension Fund

On the Effect of Stochastic Extra Contribution on Optimal Investment Strategies for Stochastic Salary Under the Affine Interest Rate Model in a DC pension Fund

The essence of this research is to study the optimal investment strategy for a plan contributor in a defined contribution (DC) pension scheme, with stochastic salary and stochastic extra contribution, under the affine interest rate model. We considered the Nigerian Pension Reform Act of 2004 which a...

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Bibliographic Details
Main Authors: Bright O. Osu, Edikan E. Akpanibah, Njoku K. N. C
Format: Article
Language:English
Published: Refaad 2017-06-01
Series:General Letters in Mathematics
Subjects:
DC Pension fund
Optimal Investment Strategies
Legendre Transform
stochastic extra contribution rate
stochastic salary
exponential utility function
Online Access:http://www.refaad.com/Files/GLM/GLM-2-3-5.pdf

Internet

http://www.refaad.com/Files/GLM/GLM-2-3-5.pdf

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