Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory

Abstract

This paper examines the variational form of classical portfolio strategy and expected terminal wealth for a Pension Plan Member (PPM) in a Defined Contribution (DC) Pension scheme. The flows of contributions made by PPM are invested into a market that is characterized by a cash account and a stock. It was assumed that the growth rate of salary of PPM is a linear function of time. The present value of PPM’s future contribution process was obtained. The optimal portfolio processes with inter-temporal hedging terms that offset any shocks to the stochastic cash inflows were established. The expected value of PPM’s terminal wealth was obtained

Stochastic Funding of a Defined Contribution Pension Plan with Proportional Administrative Costs and Taxation under Mean-Variance Optimization Approach

“…There have been many studies on the maximization of expected utility of terminal wealth of PPMs in the accumulation phase of defined contribution pension schemes. See, for example, [7,14,4,2,5,9,11,10,8,16,17,18].…”

Optimal Variational Portfolios with Inflation Protection Strategy and Efficient Frontier of Expected Value of Wealth for a Defined Contributory Pension Scheme

“…[11,12] studied the optimal portfolio and strategic lifecycle consumption process in a defined contributory pension plan. This work is an extension of [13]. [13] studied the OVMP process of a PPM.…”

“…This work is an extension of [13]. [13] studied the OVMP process of a PPM. In this paper, we introduce additional underlying asset, which is the inflation-linked bond that will protect the investment against inflation risks in the investment profile.…”

Mean-Variance Portfolio Selection Problem with Stochastic Salary for a Defined Contribution Pension Scheme: A Stochastic Linear-Quadratic-Exponential Framework

“…[20] considered optimal portfolio management of the accumulation phase of a defined contributory pension scheme. [21] studied a variational form of classical portfolio strategy and expected wealth for a defined contributory pension scheme.…”