文章基本信息

标题：Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation
本地全文：下载
作者：Paolo BATTOCCHIO ; Francesco MENONCIN
期刊名称：Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
印刷版ISSN：1379-244X
出版年度：2002
卷号：1
出版社：Université catholique de Louvain
摘要：We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market with stochastic interest rate. The fund manager must cope with two background risks: the salary risk and the inflation risk. We find a closed form solution for the asset allocation problem and so we are able to analyse in detail the behaviour of the optimal portfolio with respect to salary and inflation. Finally, a numerical simulation is presented.
关键词：defined-contribution pension plan;salary risk;inflation risk;stochastic optimal control;Hamilton-Jacobi-Bellman equation