Optimal portfolios for DC pension plans under a CEV model

Gao, Jianwei

doi:10.1016/j.insmatheco.2009.01.005

Cited by 100 publications

(76 citation statements)

References 29 publications

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“…Applying the second order condition in equation (11) we obtain the optimal investment strategies as: * ( ) = − − , and * ( ) = − − (13) Substituting equation (13) into equation (11), we obtain the non-linear second order partial differential equation (PDE) for the value function as:…”

Section: A the Value Function And The Hamilton-jacob-bellman (Hjb) Ementioning

confidence: 99%

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Management Strategies for a Defined Contribution Pension Fund under the Hull-White Interest Rate Model

Mwanakatwe

Song

Hagenimana

2017

Proceedings of the 2017 International Conference on Applied Mathematics, Modeling and Simulation (AMMS 2017)

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Abstract-This paper analyzes optimal investment strategies for a DC pension fund under the Hull-White interest rate model. Under this model, the pension fund manager can invest capital in the bank account, stock index, and real estates. The dynamics of the interest rate follows the Hull-White interest rate model, and a drifted Brownian motion drives the financial market. The pension fund manager aims to maximize the expected terminal utility of wealth in a complete market setting under constant relative risk aversion (CRRA). This paper derives the Hamilton-JacobiBellman (HJB) equation associated with the control problem using a dynamic programming technique. We obtain the explicit solution for optimal investment policies by solving the HJB equation and optimal value function. The results show that the optimal proportion invested in risky assets is higher in stock than in a real estate.

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Section: A the Value Function And The Hamilton-jacob-bellman (Hjb) Ementioning

confidence: 99%

“…Likewise, [13] discussed the portfolio optimization problem for an investor seeking to find the maximum expected utility of the terminal capital in a DC pension plan. The approach focused on a constant elasticity of variance (CEV) model, which describe the stock price dynamics without considering minimum guarantee on the terminal wealth.…”

Section: Introductionmentioning

confidence: 99%

Management Strategies for a Defined Contribution Pension Fund under the Hull-White Interest Rate Model

Mwanakatwe

Song

Hagenimana

2017

Proceedings of the 2017 International Conference on Applied Mathematics, Modeling and Simulation (AMMS 2017)

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“…For retirement plan problems, Xiao et al [29] examined the optimal portfolio for DC pension plans under the CEV model using a Legendre transform and dual theory. Moreover, Gao [17] used a power transform and the variable change technique to find an explicit solution for the utility function. In the CEV model, however, volatility is perfectly correlated either positively or negatively with the underlying asset price.…”

Section: Introductionmentioning

confidence: 99%

Portfolio optimization for pension plans under hybrid stochastic and local volatility

2015

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“…Devolder, Bosch Princep, and Domínguez Fabián (2003) derive several optimal portfolio strategies for different types of utility functions assuming the risky asset follows a geometric Brownian motion (GBM). Gao (2009) provides a similar analysis but under a constant elasticity variance (CEV) process for the risky assets. The efficiency of the mean-variance portfolio selection in a DC pension plan is studied in Vigna (2014) when the risky asset follows a GBM.…”

Section: Introductionmentioning

confidence: 99%

Determining Equivalent Charges on Flow and Balance in Individual Account Pension Systems

Chavez-Bedoya

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in b s t r a c tIn this article, we determine a charge on balance that is equivalent to a certain fixed charge on flow for a particular utility-maximizer affiliate participating in a defined-contribution pension fund under the system of individual accounts. We also prove, under market completeness, that the equivalent charge on balance depends only on the current level of the charge on flow, the length of the accumulation period and the risk free rate of return. En este artículo se determina una exacción en el balance, que es equivalente a cierta tasa fija en el flujo de una empresa asociada particular maximizadora, que participa en un fondo de pensiones de aportación definida en el sistema de cuentas individuales. También se prueba, en la integridad del mercado, que la exacción de tipo equivalente en el balance depende solo del nivel actual de la tasa en el flujo, la duración del período de acumulación y un tipo de rentabilidad sin riesgo.

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Optimal portfolios for DC pension plans under a CEV model

Cited by 100 publications

References 29 publications

Management Strategies for a Defined Contribution Pension Fund under the Hull-White Interest Rate Model

Management Strategies for a Defined Contribution Pension Fund under the Hull-White Interest Rate Model

Portfolio optimization for pension plans under hybrid stochastic and local volatility

Determining Equivalent Charges on Flow and Balance in Individual Account Pension Systems

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