2013
DOI: 10.4236/jmf.2013.34050
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Optimal Variational Portfolios with Inflation Protection Strategy and Efficient Frontier of Expected Value of Wealth for a Defined Contributory Pension Scheme

Abstract: This paper examines optimal variational Merton portfolios (OVMP) with inflation protection strategy for a defined contribution (DC) Pension scheme. The mean and variance of the expected value of wealth for a pension plan member (PPM) are also considered in this paper. The financial market is composed of a cash account, inflation-linked bond and stock. The effective salary of the plan member is assumed to be stochastic. It was assumed that the growth rate of PPM's salary depends on some macroeconomic factors ov… Show more

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Cited by 2 publications
(2 citation statements)
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“…Yao et al (2013) solve a mean-variance problem by considering the real wealth process including the influence of inflation. Okoro and Nkeki (2013) examine the optimal variational Merton portfolios with inflation protection strategy. Both expected values of pension plan member's terminal wealth and efficient frontier are obtained in their work.…”
Section: Introductionmentioning
confidence: 99%
“…Yao et al (2013) solve a mean-variance problem by considering the real wealth process including the influence of inflation. Okoro and Nkeki (2013) examine the optimal variational Merton portfolios with inflation protection strategy. Both expected values of pension plan member's terminal wealth and efficient frontier are obtained in their work.…”
Section: Introductionmentioning
confidence: 99%
“…Yao et al [8] solve a mean-variance problem by 2 of 12 considering the real wealth process including the influence of inflation. Okoro and Nkeki [9] examine the optimal variational Merton portfolios with inflation protection strategy. Both expected values of pension plan member's terminal wealth and efficient frontier are obtained in their work.…”
Section: Introductionmentioning
confidence: 99%