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DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
Published online by Cambridge University Press: 12 May 2020
Abstract
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.
Keywords
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 36 , Issue 1 , January 2022 , pp. 201 - 216
- Copyright
- Copyright © The Author(s), 2020. Published by Cambridge University Press
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