Optimal investment for a pension fund under inflation risk

Zhang, A. and Ewald, C.-O. (2010) Optimal investment for a pension fund under inflation risk. Mathematical Methods of Operations Research, 71(2), pp. 353-369. (doi:10.1007/s00186-009-0294-5)

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This paper investigates an optimal investment problem faced by a defined contribution (DC) pension fund manager under inflationary risk. It is assumed that a representative member of a DC pension plan contributes a fixed share of his salary to the pension fund during the finite time horizon [0, T]. The pension contributions are invested continuously in a risk-free bond, an index bond and a stock. The objective is to maximize the expected utility of terminal value of the pension fund. By solving this investment problem we present a way to deal with the optimization problem, in case there is a (positive) endowment (or contribution), using the martingale method.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Ewald, Professor Christian and Zhang, Dr Aihua
Authors: Zhang, A., and Ewald, C.-O.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Mathematical Methods of Operations Research
ISSN (Online):1432-5217
Published Online:19 November 2009

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