Optimal portfolios for DC pension with stochastic salary

摘要：

In the paper, we study the optimal investment strategies of DC pension, in the presence of a stochastic salary. In our model, the plan member is allowed to invest in a riskfree asset and a risky asset. By applying the HamiltonBellman equation, power transform and variable change technique, we find the explicit solution for the CARA utility function.

关键词： definedcontributionpensionplan stochasticsalary Hamilton-Jacobi-Bellmanequation optimalportfolios

作者: Zhang Chu-bing Hou Ru-jing

作者单位: School of Business, Tianjin University of Finance and EconomicsTianjin, P.R.China School of Business, Nankai University Tianjin, P.R.China

会议类型: 国际会议

会议名称: 2011 International Conference on Business Management and Electronic Information(2011商业管理与电子信息国际学术会议 BMEI2011)

会议地点: 广州

会议语种:英文

页码: 1-4

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）