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Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes

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.

Author Details

Xiaoyi Zhang

Junyi Guo

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