Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence

Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence

This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is assumed to be proportional to the individual’s salary. The salary follows a Heston stochastic volatility model with jumps, and there exists co...

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Bibliographic Details
Main Authors: Wujun Lv, Linlin Tian, Xiaoyi Zhang
Format: Article
Language:English
Published: MDPI AG 2023-07-01
Series:Mathematics
Subjects:
DC pension plan
stochastic volatility
Poisson process
common shock dependence
inflation
Hamilton–Jacobi–Bellman equation
Online Access:https://www.mdpi.com/2227-7390/11/13/2954

Internet

https://www.mdpi.com/2227-7390/11/13/2954

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