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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

Xingchun Peng Open the ORCID record for Xingchun Peng [Opens in a new window]  and
Fenge Chen
Xingchun Peng
Affiliation:
School of Science, Wuhan University of Technology, Wuhan 430072, P.R. China E-mail: pxch@whut.edu.cn; lixueyuanchen@whut.edu.cn
Fenge Chen
Affiliation:
School of Science, Wuhan University of Technology, Wuhan 430072, P.R. China E-mail: pxch@whut.edu.cn; lixueyuanchen@whut.edu.cn
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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

DC pension plandeterministic investmentinflation riskMalliavin calculusrandom parameter processes

Information

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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