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Zbl 1068.91028
Battocchio, Paolo; Menoncin, Francesco
Optimal pension management in a stochastic framework. (English)
[J] Insur. Math. Econ. 34, No. 1, 79-95 (2004). ISSN 0167-6687

Summary: We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market with stochastic interest rate. The fund manager must cope with two background risks: the salary risk and the inflation risk. We find a closed form solution for the asset allocation problem and so we are able to analyze in detail the behavior of the optimal portfolio with respect to salary and inflation. Finally, a numerical simulation is presented.

MSC 2000:: *91B28 Finance etc.
90B15 Flows in networks with stochastic elements
91B70 Stochastic models

Keywords: Defined-contribution pension plan; Salary risk; Inflation risk; Stochastic optimal control; Hamilton-Jacobi-Bellman equation

Cited in: Zbl 1218.91088

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