DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION. Issue 1 (January 2022)

• Record Type: Journal Article
• Authors: Peng, Xingchun; Chen, Fenge
• Is Part Of: Probability in the engineering and informational sciences. Volume 36:Issue 1(2022)
• Page Start: 201
• Page End: 216
• Publication Date: 2022-01
• Subjects: DC pension plan -- deterministic investment -- inflation risk -- Malliavin calculus -- random parameter processes; Probabilities -- Periodicals; Engineering -- Statistical methods -- Periodicals; Information science -- Statistical methods -- Periodicals; 519.202462
• DOI: 10.1017/S026996482000025X
• Languages: English
• ISSNs: 0269-9648

Abstract

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.