Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
Year: 2020
Author: Xiaoyi Zhang, Junyi Guo
East Asian Journal on Applied Mathematics, Vol. 10 (2020), Iss. 1 : pp. 22–39
Abstract
The paper considers an optimal asset allocation problem for a defined contribution pension plan during the accumulation phase. The salary follows a stochastic process, which combines a compound Poisson jump with Brownian uncertainty. The plan aims to minimise the quadratic loss function over finite time horizon by investing in the market of risky assets and bank account. The risky assets are subjected to Poisson jump and Brownian motion. The closed-form optimal investment decision is derived from the corresponding Hamilton-Jacobi-Bellman equation.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.301218.170419
East Asian Journal on Applied Mathematics, Vol. 10 (2020), Iss. 1 : pp. 22–39
Published online: 2020-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Keywords: Compound Poisson process defined contribution pension plan stochastic optimal control dynamic programming approach Hamilton-Jacobi-Bellman equation.
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