2014
DOI: 10.19139/82
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Stochastic Funding of a Defined Contribution Pension Plan with Proportional Administrative Costs and Taxation under Mean-Variance Optimization Approach

Abstract: This paper aim at studying a mean-variance portfolio selection problem with stochastic salary, proportional administrative costs and taxation in the accumulation phase of a defined contribution (DC) pension scheme. The fund process is subjected to taxation while the contribution of the pension plan member (PPM) is tax exempt. It is assumed that the flow of contributions of a PPM are invested into a market that is characterized by a cash account and a stock. The optimal portfolio processes and expected wealth f… Show more

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Cited by 1 publication
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“…examines a mean-variance portfolio selection problem with fixed salary or income and inflation protection strategy in the accumulation phase of a defined contribution pension plan. For more on a mean-variance portfolio selection problem, see [30], [31] and [33].…”
mentioning
confidence: 99%
“…examines a mean-variance portfolio selection problem with fixed salary or income and inflation protection strategy in the accumulation phase of a defined contribution pension plan. For more on a mean-variance portfolio selection problem, see [30], [31] and [33].…”
mentioning
confidence: 99%