DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION

被引：2
|
作者：
Peng, Xingchun [1 ]
Chen, Fenge [1 ]
机构：
[1] Wuhan Univ Technol, Sch Sci, Wuhan 430072, Peoples R China
来源：
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2022年 / 36卷 / 01期
基金：
中国国家自然科学基金;
关键词：
DC pension plan; deterministic investment; inflation risk; Malliavin calculus; random parameter processes; ASSET ALLOCATION; OPTIMAL MANAGEMENT; CONSUMPTION;
D O I：
10.1017/S026996482000025X
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and a jump diffusion process with random parameters, respectively. The contribution rate linked to the income of the DC plan member is assumed to be a non-Markovian adapted process. Under the mean-variance criterion, we use Malliavin calculus to derive a characterization for the optimal deterministic investment strategy. In some special cases, we obtain the explicit expressions for the optimal deterministic strategies.
引用
收藏
页码：201 / 216
页数：16
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