The optimal investment strategy for DC pension plan with a dynamic investment target

Based on the dynamic investment target, this paper considers the optimal investment problem of the defined contribution (DC) pension plan at the phase of accumulation before retirement. We assume that the pension plan member sets an expected investment target via the income level of the member when she retires. And the pension fund is invested into the market consists of one risk-free asset and n risky assets. From the point of view of deficit and surplus, we analyze the deviation between the pension fund account and expected investment target, and formulate the continuous time portfolio problems under the quadratic loss and mean-variance criteria, respectively. The explicit expression of the optimal investment strategies for the above problems are obtained, and the relationship between the expected terminal wealth under the two optimal strategies are also analysed. Finally, some numerical examples are presented to verify our results. © 2017, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.