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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Abstract
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 |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| 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: | 1432-2994 |
| ISSN (Online): | 1432-5217 |
| Published Online: | 19 November 2009 |
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