Optimal Portfolio Selection in a DC Pension with Multiple Contributors and the Impact of Stochastic Additional Voluntary Contribution on the Optimal Investment Strategy

International Journal of Information Technology

Edikan E. Akpanibah ; Okwigbedi Oghen’Oro

关键词: DC pension fund;    Hamilton-Jacobi-Bellman;    optimal investment strategies;    power transformation method;    stochastic;    voluntary contribution.;   

DOI  :  10.1999/1307-6892/10008892

学科分类：计算机应用

来源: World Academy of Science, Engineering and Technology (W A S E T)

【 摘 要 】

In this paper, we studied the optimal portfolio selection in a defined contribution (DC) pension scheme with multiple contributors under constant elasticity of variance (CEV) model and the impact of stochastic additional voluntary contribution on the investment strategies. We assume that the voluntary contributions are stochastic and also consider investments in a risk free asset and a risky asset to increase the expected returns of the contributing members. We derived a stochastic differential equation which consists of the members’ monthly contributions and the invested fund and obtained an optimized problem with the help of Hamilton Jacobi Bellman equation. Furthermore, we find an explicit solution for the optimal investment strategy with stochastic voluntary contribution using power transformation and change of variables method and the corresponding optimal fund size was obtained. We discussed the impact of the voluntary contribution on the optimal investment strategy with numerical simulations and observed that the voluntary contribution reduces the optimal investment strategy of the risky asset.

【 授权许可】

Unknown