Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model
We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Ha...
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2013/297875 |
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| _version_ | 1832545632463618048 |
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| author | Chubing Zhang Ximing Rong |
| author_facet | Chubing Zhang Ximing Rong |
| author_sort | Chubing Zhang |
| collection | DOAJ |
| description | We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively. |
| format | Article |
| id | doaj-art-2d9875deb21245d78173d72b1ed0ffa7 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-2d9875deb21245d78173d72b1ed0ffa72025-02-03T07:25:05ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2013-01-01201310.1155/2013/297875297875Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate ModelChubing Zhang0Ximing Rong1College of Business, Tianjin University of Finance and Economics, Tianjin 300222, ChinaCollege of Science, Tianjin University, Tianjin 300072, ChinaWe study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively.http://dx.doi.org/10.1155/2013/297875 |
| spellingShingle | Chubing Zhang Ximing Rong Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model Discrete Dynamics in Nature and Society |
| title | Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model |
| title_full | Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model |
| title_fullStr | Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model |
| title_full_unstemmed | Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model |
| title_short | Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model |
| title_sort | optimal investment strategies for dc pension with stochastic salary under the affine interest rate model |
| url | http://dx.doi.org/10.1155/2013/297875 |
| work_keys_str_mv | AT chubingzhang optimalinvestmentstrategiesfordcpensionwithstochasticsalaryundertheaffineinterestratemodel AT ximingrong optimalinvestmentstrategiesfordcpensionwithstochasticsalaryundertheaffineinterestratemodel |